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...
Guardado en:
| Autor principal: | Cortina, Elsa Aurora |
|---|---|
| Publicado: |
2005
|
| Materias: | |
| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_13806645_v8_n1_p49_DeEstrada http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada |
| Aporte de: |
Ejemplares similares
-
Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
por: De Estrada, M.C., et al. -
Defaultable bonds with log-normal spread : an application of the model to argentinean and brazilian bonds during the argentine crisis
por: Cané de Estrada, Mariano
Publicado: (2004) -
A closed-form solution for defaultable bonds with log-normal spread
por: Cortina, Elsa
Publicado: (2001) -
The Cost of Corporate Bond Financing in Latin America
por: Grandes, Marín, et al.
Publicado: (2009) -
Default and devaluation risks in Argentina: long-run and exogeneity in different systems
por: Ahumada, Hildegart, et al.
Publicado: (2000)