Closed-form solutions for pricing credit-risky bonds and bond options
type: Item
instance of: scholarly article
title: Closed-form solutions for pricing credit-risky bonds and bond options
zbMATH Open document ID: 1208.91050
author: Leonard Tchuindjo
published in: Applied Mathematics and Computation
publication date: 2011-03-28T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 5870876
zbMATH Keywords: survival measure
zbMATH Keywords: credit spread
zbMATH Keywords: credit-risky bond
zbMATH Keywords: bond option
zbMATH Keywords: Ho-Lee model
MaRDI profile type: Publication
full work available at URL: j.amc.2010.12.092
OpenAlex ID: W3122492018
cites work: Pricing the risks of default
cites work: A General Formula for Valuing Defaultable Securities
cites work: Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
cites work: Pricing Interest-Rate-Derivative Securities
cites work: A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
cites work: On Cox processes and credit risky securities
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
DOI: 10.1016/J.AMC.2010.12.092
description: scientific article; zbMATH DE number 5870876