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 |
| Subjects: | |
| Online Access: | http://www.opuscula.agh.edu.pl/vol24/1/art/opuscula_math_2405.pdf |
| _version_ | 1819238754848604160 |
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| author | Ewa Frankiewicz |
| author_facet | Ewa Frankiewicz |
| author_sort | Ewa Frankiewicz |
| collection | DOAJ |
| description | 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 for Markov processes. The third approach relies on a recursive procedure method in which at every step a suitable Cauchy problem is solved. |
| first_indexed | 2024-12-23T13:41:15Z |
| format | Article |
| id | doaj.art-e3805526fc004f5385716a3a869f0981 |
| institution | Directory Open Access Journal |
| issn | 1232-9274 |
| language | English |
| last_indexed | 2024-12-23T13:41:15Z |
| publishDate | 2004-01-01 |
| publisher | AGH Univeristy of Science and Technology Press |
| record_format | Article |
| series | Opuscula Mathematica |
| spelling | doaj.art-e3805526fc004f5385716a3a869f09812022-12-21T17:44:52ZengAGH Univeristy of Science and Technology PressOpuscula Mathematica1232-92742004-01-0124157692405Pricing of a defaultable coupon bond in an extended Merton's modelEwa Frankiewicz0Warsaw University of Technology, Faculty of Mathematics and Information Science, Pl. Politechniki 1, 00-661 Warsaw, PolandThree 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 for Markov processes. The third approach relies on a recursive procedure method in which at every step a suitable Cauchy problem is solved.http://www.opuscula.agh.edu.pl/vol24/1/art/opuscula_math_2405.pdfarbitrage valuationMarkov processescontraction semigroupgenerators |
| spellingShingle | Ewa Frankiewicz Pricing of a defaultable coupon bond in an extended Merton's model Opuscula Mathematica arbitrage valuation Markov processes contraction semigroup generators |
| title | Pricing of a defaultable coupon bond in an extended Merton's model |
| title_full | Pricing of a defaultable coupon bond in an extended Merton's model |
| title_fullStr | Pricing of a defaultable coupon bond in an extended Merton's model |
| title_full_unstemmed | Pricing of a defaultable coupon bond in an extended Merton's model |
| title_short | Pricing of a defaultable coupon bond in an extended Merton's model |
| title_sort | pricing of a defaultable coupon bond in an extended merton s model |
| topic | arbitrage valuation Markov processes contraction semigroup generators |
| url | http://www.opuscula.agh.edu.pl/vol24/1/art/opuscula_math_2405.pdf |
| work_keys_str_mv | AT ewafrankiewicz pricingofadefaultablecouponbondinanextendedmertonsmodel |