Defaultable Bond Pricing under the Jump Diffusion Model with Copula Dependence Structure
نویسندگان
چکیده
منابع مشابه
Pricing of a Defaultable Coupon Bond in an Extendedmerton’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 for Markov processes. The third approach relies on a recursive procedure method in which at every step a...
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ژورنال
عنوان ژورنال: Sains Malaysiana
سال: 2020
ISSN: 0126-6039
DOI: 10.17576/jsm-2020-4904-23