Pricing a defaultable bond with a stochastic recovery rate (Q5189714): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/14697680902835725 / rank | |||
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| Property / OpenAlex ID: W2117251338 / rank | |||
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| Property / cites work: A Theory of the Term Structure of Interest Rates / rank | |||
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| Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank | |||
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| Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank | |||
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Latest revision as of 13:41, 2 July 2024
scientific article; zbMATH DE number 5680125
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing a defaultable bond with a stochastic recovery rate |
scientific article; zbMATH DE number 5680125 |
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Pricing a defaultable bond with a stochastic recovery rate (English)
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11 March 2010
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reduced-form model
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default risk
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stochastic recovery rate
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