Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also p...
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| Autor principal: | |
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| Otros Autores: | , , |
| Formato: | Capítulo de libro |
| Lenguaje: | Inglés |
| Publicado: |
2005
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| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
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