scientific article; zbMATH DE number 5044694

zbMATH Open1136.91021MaRDI QIDQ5481336FDOQ5481336

Authors: Ewa Frankiewicz 

Publication date: 9 August 2006

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Merton's modeldefaultable coupon bondCD-extended generator

Mathematics Subject Classification ID

Transition functions, generators and resolvents (60J35) Stochastic models in economics (91B70)

Cited In (14)

• Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
• A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
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• Pricing corporate defaultable bond using declared firm value
• Pricing of a firm bond with extendable maturity by the reduced form approach
• Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds
• A General Formula for Valuing Defaultable Securities
• Valuation of one period coupon bond based on default time and empirical study in Indonesian bond data
• Derivation of a price process for multitype multiple defaultable bonds
• PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS
• A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds
• The pricing of risky coupon bonds
• On the pricing of defaultable bonds using the framework of barrier options
• On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

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