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

MaRDI QIDQ3171049zbMATHFDO

Authors Jian Pan, Xiangying Zhou

Publication date 29 September 2011

zbMATH Keywords

Hull-White modelcredit spreaddefaultable bondsinformation dissymmetry

Mathematics Subject Classification ID

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

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

Cited in

(8)

• Bond prices under information asymmetry and a short rate with instantaneous feedback
• The information content of lagged equity and bond yields
• Evaluating corporate bonds with complicated liability structures and bond provisions
• Bond pricing under imprecise information
• Pricing analysis of a class of risky bond with incomplete information
• scientific article; zbMATH DE number 5260096 (Why is no real title available?)
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Pricing risky point with incomplete information under stochastic interest rate

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