Closed-form solutions for pricing credit-risky bonds and bond options

DOI10.1016/J.AMC.2010.12.092MaRDI QIDQ632832zbMATH OpenOpenAlexFDO

Authors Leonard Tchuindjo

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

zbMATH Keywords

bond optioncredit spreadcredit-risky bondHo-Lee modelsurvival measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A discrete-time approach to arbitrage-free pricing of credit derivatives
• A General Formula for Valuing Defaultable Securities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On Cox processes and credit risky securities
• Pricing interest-rate-derivative securities
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• Pricing the risks of default

Cited in

(11)

• Closed-form pricing formula for foreign equity option with credit risk
• The European vulnerable option pricing with jumps based on a mixed model
• Closed-form pricing formula for exchange option with credit risk
• A closed-form solution of the Black-Litterman model with conditional value at risk
• Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
• Pricing of a firm bond with extendable maturity by the reduced form approach
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• Exact solutions for bond and option prices with systematic jump risk
• An Integral Equation Approach for Bond Prices with Applications to Credit Spreads
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• A novel analytical pricing of defaultable bonds and CDSs with stochastic recovery in a mixed fractional CIR model

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