Pricing of a defaultable coupon bond in an extended Merton's model
Three alternative approaches to the valuation of a defaultable coupon bond in an extended Merton's model are given. Probabilistic approach yields a closed-form expression for the arbitrage price of this bond. A boundary value problem method is based on the concept of an CD-extended generator fo...
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| Format: | Article |
| Language: | English |
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AGH Univeristy of Science and Technology Press
2004-01-01
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| Series: | Opuscula Mathematica |
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| Online Access: | http://www.opuscula.agh.edu.pl/vol24/1/art/opuscula_math_2405.pdf |