Closed-form solutions for pricing credit-risky bonds and bond options
From MaRDI portal
Publication:632832
DOI10.1016/j.amc.2010.12.092zbMath1208.91050OpenAlexW3122492018MaRDI QIDQ632832
Publication date: 28 March 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.12.092
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Cites Work
- On Cox processes and credit risky securities
- Pricing the risks of default
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- Pricing Interest-Rate-Derivative Securities
- A General Formula for Valuing Defaultable Securities