In a default corridor [0; B] that the stock price can never enter, a deep out-of-the-money American put option replicates a pure credit contract (Carr and Wu, 2011). Assuming discrete (one-period-ahead predictable) cash áows, we show that an endogenous credit-risk model generates, along with the...

Although Bermudan options are routinely priced by simulation and least-squares methods using lower and dual upper bounds, the latter are hardly optimized. In this paper, we optimize recursive upper bounds, which are more tractable than the original/nonrecursive ones, and derive two new results:...

Con respecto al riesgo de crédito corporativo, este trabajo demuestra que el «evento de default» que define un modelo endógeno de riesgo de crédito (i.e., un bajo valor de los activos) puede ser similarmente descrito por un bajo valor de las acciones y unos flujos de caja netos negativos...