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An Application of New Barrier Options (Edokko Options) for Pricing Bonds with Credit Risk

Author

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  • Fujita, Takahiko
  • 藤田, 岳彦
  • Ishizaka, Motokazu
  • 石坂, 元一

Abstract

No abstract is available for this item.

Suggested Citation

  • Fujita, Takahiko & 藤田, 岳彦 & Ishizaka, Motokazu & 石坂, 元一, 2002. "An Application of New Barrier Options (Edokko Options) for Pricing Bonds with Credit Risk," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 37(1), pages 17-23, October.
    • Handle: RePEc:hit:hitjcm:v:37:y:2002:i:1:p:17-23
    DOI: 10.15057/4931
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    Cited by:

    1. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.
    2. Motokazu Ishizaka & Koichiro Takaoka, 2003. "On the Pricing of Defaultable Bonds Using the Framework of Barrier Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 151-162, September.

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