Applying a three-factor defaultable term structure model to the pricing of credit default options
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- Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li, 2016. "Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 573-592, April.
- Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
- Moraux, Franck, 2004.
"Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing,"
International Review of Financial Analysis, Elsevier, vol. 13(1), pages 47-61.
- Franck Moraux, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," Post-Print halshs-00010138, HAL.
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