Outline
DOI: 10.7494/opmath.2004.24.1.57 ISSN: 1232-9274
Pricing of a defaultable coupon bond in an extended Merton's model
Ewa FrankiewiczThree 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.
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