A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
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DOI: 10.1080/13504860802091240
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- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
- Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon, 2017. "Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon," Papers 1709.06517, arXiv.org, revised Aug 2018.
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Keywords
Credit risk; defaultable bonds; asymptotic expansion;All these keywords.
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