Analytical Pricing of Defaultable Bond with Stochastic Default Intensity

Preprint OPEN
Hyong-Chol O ; Ning Wan (2013)
  • Related identifiers: doi: 10.2139/ssrn.723601
  • Subject: Quantitative Finance - Computational Finance | Quantitative Finance - Pricing of Securities | Quantitative Finance - Risk Management | 35C05, 35K15, 91B24, 91B28, 91B30
    arxiv: Computer Science::Artificial Intelligence

We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formul... View more
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