PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS

DOI10.1142/S0219024999000078zbMath1153.91573arXivcond-mat/9808168OpenAlexW3121208824MaRDI QIDQ3523516

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Publication date: 3 September 2008

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

Full work available at URL: https://arxiv.org/abs/cond-mat/9808168

zbMATH Keywords

CIR term structureMerton's approachpricing defaultable debt

Mathematics Subject Classification ID

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

Related Items (1)

DEFAULTABLE DEBT PRICING IN MULTI-FACTOR MODELS

Cites Work

• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure

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