Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information
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- Hyong-Chol O & Ning Wan, 2013. "Analytical Pricing of Defaultable Bond with Stochastic Default Intensity," Papers 1303.1298, arXiv.org, revised Apr 2013.
- Peter Buchen, 2004. "The pricing of dual-expiry exotics," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 101-108.
- Marco Realdon, 2007. "Credit risk pricing with both expected and unexpected default," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 225-230.
- Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 243-253.
- Hyong-Chol O & Jong-Jun Jo & Chol-Ho Kim, 2013. "Pricing Corporate Defaultable Bond using Declared Firm Value," Papers 1302.3654, arXiv.org, revised Jul 2013.
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- Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon, 2017. "Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon," Papers 1709.06517, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
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