The Structure of the Market with Default Risk and the Pricing of the Defaultable American Contingent Claims without any Recovery

This paper is based on reduced-form approach. Given a defaultable market model containing a complete market without default risk, we analyse the character of the equivalent martingale transformation, the change of some variables under the equivalent martingale transformation and the relation of these variables under the transformation. After providing a complete defaultable market model, we try to price the defautable American contingent claims without any recovery and obtain a formula for this valuation.