Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information-Reference-Cited by-同舟云学术

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Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

O. Hyong-Chol,Kim Yong-Gon,Kim Dong-Hyok

Publisher

Elsevier BV

Reference20 articles.

1. A Comprehensive Structural Model for Defaultable Fixed-income Bonds;R Agliardi;Quantitative Finance,2011

2. Bond Pricing under Imprecise Information;E Agliardi;Operational Research International Journal,2011

3. Pricing defaultable bonds: a new model combining structural information with the reduced-form approach;L Ballestra;Working Paer,2008

4. Pricing Corporate Bonds with Both Expected and Unexpected Defaults;Yusheng Bi;Journal of Tongji University(Natural Science,2007

5. The Pricing of dual-expiry exotics;P Buchen;Quantitative Finance,2004

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Analytical Pricing of Defaultable Discrete Coupon Bonds in Unified Model of Structural and Reduced Form Models (Two-Factor Model);SSRN Electronic Journal;2013

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