Closed-form solutions for pricing credit-risky bonds and bond options
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Publication:632832
DOI10.1016/J.AMC.2010.12.092zbMATH Open1208.91050OpenAlexW3122492018MaRDI QIDQ632832FDOQ632832
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
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Cites Work
- Pricing Interest-Rate-Derivative 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
- A General Formula for Valuing Defaultable Securities
- Pricing the risks of default
- A discrete-time approach to arbitrage-free pricing of credit derivatives
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
Cited In (9)
- Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- Pricing of a firm bond with extendable maturity by the reduced form approach
- Closed-form pricing formula for foreign equity option with credit risk
- An Integral Equation Approach for Bond Prices with Applications to Credit Spreads
- The European vulnerable option pricing with jumps based on a mixed model
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
- A closed-form solution of the Black-Litterman model with conditional value at risk
- Closed-form pricing formula for exchange option with credit risk
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