Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models

DOI10.1016/J.JMAA.2014.02.026zbMath1293.93693OpenAlexW2040149772MaRDI QIDQ402981

Chol-Hyok Pak, Dong-Hyok Kim, Hyong-chol O

Publication date: 29 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.02.026

zbMATH Keywords

durationdefault barrierdefault intensitydefaultable corporate bonddiscrete coupontax

Mathematics Subject Classification ID

Discrete event control/observation systems (93C65) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

Related Items (1)

General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs

Cites Work

• General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs
• A comprehensive structural model for defaultable fixed-income bonds
• The pricing of dual-expiry exotics
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models