Pricing corporate bonds with information dissymmetry under first-passage time approach

zbMATH Open1240.91032MaRDI QIDQ3171049FDOQ3171049

Authors: Jian Pan, Xiangying Zhou 

Publication date: 29 September 2011

Recommendations

• Pricing analysis of a class of risky bond with incomplete information
• A NOTE ON RISKY BOND VALUATION
• Bond pricing under imprecise information
• Pricing corporate bonds with both expected and unexpected defaults
• Evaluating corporate bonds with complicated liability structures and bond provisions

zbMATH Keywords

Hull-White modelcredit spreaddefaultable bondsinformation dissymmetry

Mathematics Subject Classification ID

Credit risk (91G40) Financial applications of other theories (91G80)

Cited In (6)

• Title not available (Why is that?)
• Pricing risky point with incomplete information under stochastic interest rate
• Bond prices under information asymmetry and a short rate with instantaneous feedback
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• The information content of lagged equity and bond yields
• Pricing analysis of a class of risky bond with incomplete information

This page was built for publication: Pricing corporate bonds with information dissymmetry under first-passage time approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3171049)