A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
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Cites work
- Computation of Exponential Integrals
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
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- scientific article; zbMATH DE number 465664 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- On models of default risk.
- Pricing the risks of default: a note on Madan and Unal
- Stochastic Volatility Effects on Defaultable Bonds
- The Accurate Numerical Inversion of Laplace Transforms
Cited in
(4)- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
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