On the pricing of defaultable bonds using the framework of barrier options

DOI10.1007/S10690-005-6008-YMaRDI QIDQ816769zbMATH OpenOpenAlexFDO

Authors Motokazu Ishizaka, Koichiro Takaoka

Publication date 23 February 2006

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-005-6008-y

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• A theory of the term structure of interest rates
• Brownian Excursions and Parisian Barrier Options
• Edokko options: a new framework of barrier options
• Numerical recipes in C++. The art of scientific computing
• The pricing of options and corporate liabilities

Cited in

(5)

• Pricing corporate bond with dynamic default barrier based on a hybrid model
• scientific article; zbMATH DE number 2065147 (Why is no real title available?)
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Valuation of a repriceable executive stock option
• Design of green bonds by double-barrier options

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