Pricing of a defaultable coupon bond in an extended Merton's model

• Autorzy: Frankiewicz E.
• Języki publikacji: EN

Abstrakty

EN

Three alternative approaches to the valuation of a defaultable coupon bond in an extended Merton's model are given. Probabilistic approach yields a closed-form expression for the arbitrage price of this bond. A boundary value problem method is based on the concept of an CD-extended generator for Markov processes. The third approach relies on a recursive procedure method in which at every step a suitable Cauchy problem is solved.

Słowa kluczowe

EN

arbitrage valuation; Markov processes; contraction semigroup; generators

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2004
• Tom: Vol. 24, no. 1
• Strony: 57--69
• Opis fizyczny: Bibliogr. 10 poz.

Twórcy

autor

Frankiewicz E.

• Warsaw University of Technology, Faculty of Mathematics and Information Science, Pl. Politechniki 1, 00-661 Warsaw, Poland,

Bibliografia

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• [3] Bielecki T., Frankiewicz E.: On Extended Generators for Markov Processes and Controlled Martingale Problems. Submitted to SIAM J. Control Optim., 2003.
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