FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS

We continue to study a credit risk model of financial market introduced recently by the authors, in which dynamics intensity rates two default times are described linear combinations three independent geometric Brownian motions. The default-free risky asset prices modeled motions that not ones describing rates. obtain closed form expressions for no-arbitrage some first-to-default and second-to-default European style contingent claims given reference filtration initially progressively enlarged successive times. accessible is generated standard driving model.