A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model

DOI10.1080/13504860802091240zbMath1169.91336OpenAlexW2093595705MaRDI QIDQ3395728

Graziella Pacelli, Luca Vincenzo Ballestra

Publication date: 13 September 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802091240

zbMATH Keywords

asymptotic expansioncredit riskdefaultable bonds

Mathematics Subject Classification ID

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

Related Items (2)

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ Valuing risky debt: a new model combining structural information with the reduced-form approach

Cites Work

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• Pricing the risks of default: a note on Madan and Unal
• On Models of Default Risk
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Stochastic Volatility Effects on Defaultable Bonds
• Computation of Exponential Integrals
• The Accurate Numerical Inversion of Laplace Transforms

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