Pricing American put options on defaultable bonds

DOI10.1023/A:1024129531195zbMath1072.91024MaRDI QIDQ1421692

Yoshifumi Muroi

Publication date: 3 February 2004

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

defaultable bondoptimal stopping problemdiffusion process with a jumppricing American put

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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