DEFAULTABLE DEBT PRICING IN MULTI-FACTOR MODELS

DOI10.1142/S0219024902001742zbMath1107.91312OpenAlexW1997577372MaRDI QIDQ3022087

Kian-Guan Lim, Shiwei Chang, Tsui Kai Chong

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001742

zbMATH Keywords

structural approachdebt pricingdefaultable debtmulti-factor Gaussian interest rates

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• The Pricing of Options and Corporate Liabilities
• PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS
• A new integral equation for the evaluation of first-passage-time probability densities
• An equilibrium characterization of the term structure
• Heuristic Approach to the Kolmogorov-Smirnov Theorems

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