VALUATION OF ONE PERIOD COUPON BOND BASED ON DEFAULT TIME AND EMPIRICAL STUDY IN INDONESIAN BOND DATA

DOI10.17654/FJMSSEP2015_057_073zbMath1386.91156OpenAlexW2520373843MaRDI QIDQ2796299

Abdurakhman, Di Asih I. Maruddani, Gunardi, Dedi Rosadi

Publication date: 24 March 2016

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9295.htm

zbMATH Keywords

first passage timeclassical modeldefault barrierprobability of defaultrevised first passage time

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

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