Pricing defaultable debt: some exact results
统计力学
2008-12-10 v1 证券定价
摘要
In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky debt's price.
引用
@article{arxiv.cond-mat/9808168,
title = {Pricing defaultable debt: some exact results},
author = {D. F. Wang},
journal= {arXiv preprint arXiv:cond-mat/9808168},
year = {2008}
}
备注
Revtex, 8 pages