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A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model - MaRDI portal

A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model (Q3395728)

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English
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
scientific article

    Statements

    title
    A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model (English)
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    publication date
    13 September 2009
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    zbMATH Keywords
    credit risk
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    defaultable bonds
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    asymptotic expansion
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    Identifiers

    zbMATH DE Number
    5603430
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    OpenAlex ID
    W2093595705
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