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An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads - MaRDI portal

An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads (Q3621148)

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An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads
scientific article

    Statements

    title
    An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads (English)
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    author
    Yu-Ting Chen
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    Cheng-Few Lee
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    Yuan-Chung Sheu
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    publication date
    14 April 2009
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    zbMATH Keywords
    jump diffusion
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    default barrier
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    bond price
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    credit spread
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    Identifiers

    zbMATH DE Number
    5543694
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    OpenAlex ID
    W2049400883
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