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A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery

  • Published:2016-09 Issue:5 Volume:32 Page:725-739
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Pan Jian12,Xiao Qingxian1

Affiliation:

1. Business School; University of Shanghai for Science and Technology; Shanghai China

2. College of Mathematics and Computer Science; Gannan Normal University; Ganzhou China

Funder

National Natural Science Foundation of China

Natural Science Foundation of Gannan Normal University

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Reference32 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

2. On the pricing of corporate debt: the risk structure of interest rates;Merton;Journal of Finance,1973

3. Valuing corporate securities: some effects of bond indenture provisions;Black;Journal of Finance,1976

4. A simple approach to valuing risky fixed and floating rate debt;Longstaff;Journal of Finance,1995

5. Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads;Leland;Journal of Finance,1996

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