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A closed form solution for pricing defaultable bonds

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  • Moraux, Franck

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  • Moraux, Franck, 2004. "A closed form solution for pricing defaultable bonds," Finance Research Letters, Elsevier, vol. 1(2), pages 135-142, June.
    • Handle: RePEc:eee:finlet:v:1:y:2004:i:2:p:135-142
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    References listed on IDEAS

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    1. Claessens, Stijn & Pennacchi, George, 1996. "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 109-126, March.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    5. Ingersoll, Jonathan E, Jr, 2000. "Digital Contracts: Simple Tools for Pricing Complex Derivatives," The Journal of Business, University of Chicago Press, vol. 73(1), pages 67-88, January.
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    Cited by:

    1. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2018. "Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 109-128.
    2. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2017. "Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets," ADB Economics Working Paper Series 530, Asian Development Bank.

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