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

DOI10.1007/S10690-005-6008-YzbMATH Open1137.91452OpenAlexW2003921545MaRDI QIDQ816769FDOQ816769

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

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Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• Numerical recipes in C++. The art of scientific computing
• Brownian Excursions and Parisian Barrier Options
• Edokko options: a new framework of barrier options
• Title not available (Why is that?)

Cited In (5)

• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Valuation of a repriceable executive stock option
• Pricing corporate bond with dynamic default barrier based on a hybrid model
• Title not available (Why is that?)
• Design of green bonds by double-barrier options

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