Pricing Defaultable Bonds in a Markov Modulated Market

DOI10.1080/07362994.2012.668442zbMath1248.91039OpenAlexW2019397462MaRDI QIDQ2893288

Mrinal K. Ghosh, Srikanth K. Iyer, Tamal Banerjee

Publication date: 20 June 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.668442

zbMATH Keywords

structural approachdefaultable bondminimal martingale measurequadratic hedgingCredit spread

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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