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A closed form solution for pricing defaultable bonds

✍ Scribed by Franck Moraux

Book ID: 116494702
Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 196 KB
Volume: 1
Category: Article
ISSN: 1544-6123
DOI: 10.1016/j.frl.2004.03.007

No coin nor oath required. For personal study only.

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Pesante, and Catherine Shalen for helpful discussions. I am also grateful to two anonymous referees for valuable comments. 'The price of an American option is the solution of a free boundary problem. In most, if not all, cases these solutions are determined numerically. 'Jamshidian (1989) and Rabi