Bond Pricing with Default Risk

Article, Preprint English OPEN
Saa-Requejo, Jesus; Santa-Clara, Pedro;
  • Publisher: eScholarship, University of California

We offer a new model for pricing bonds subject to default risk. The event of default is remodeled as the first time that a state variable that captures the solvency of the issue goes below a certain level. The payoff to the bond in case of default is a constant fraction... View more
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