First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
| Year of publication: |
2008
|
|---|---|
| Authors: | Nardon, Martina |
| Published in: |
Frontiers in Finance and Economics. - SKEMA Business School, ISSN 1814-2044. - Vol. 5.2008, 2, p. 1-25
|
| Publisher: |
SKEMA Business School |
| Subject: | credit risk | sturctural models | default boundary | first-passage time | excursion time |
| Extent: | application/pdf |
|---|---|
| Type of publication: | Article |
| Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10004998280