Closed-form solutions for pricing credit-risky bonds and bond options

DOI10.1016/J.AMC.2010.12.092zbMath1208.91050OpenAlexW3122492018MaRDI QIDQ632832

Leonard Tchuindjo

Publication date: 28 March 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.12.092

zbMATH Keywords

credit spreadbond optioncredit-risky bondHo-Lee modelsurvival measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

The European vulnerable option pricing with jumps based on a mixed model ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

Cites Work

• On Cox processes and credit risky securities
• Pricing the risks of default
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• Pricing Interest-Rate-Derivative Securities
• A General Formula for Valuing Defaultable Securities

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