A comprehensive structural model for defaultable fixed-income bonds
From MaRDI portal
Publication:3005364
DOI10.1080/14697680903222451zbMath1213.91072OpenAlexW1988691265MaRDI QIDQ3005364
Publication date: 7 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903222451
Related Items (5)
A comprehensive mathematical approach to exotic option pricing ⋮ Credit spreads, endogenous bankruptcy and liquidity risk ⋮ Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models ⋮ General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs ⋮ PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
Cites Work
- Switching to a poor business activity: optimal capital structure, agency costs and covenant rules
- A generalization of the Geske formula for compound options
- Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
- Stock options as barrier contingent claims
- An equilibrium characterization of the term structure
This page was built for publication: A comprehensive structural model for defaultable fixed-income bonds
