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

Frankiewicz E.

Opuscula Mathematica

2004

Vol. 24, no. 1

57-69

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.