Ju, Hann-Shing; Chen, Ren-Raw; Yeh, Shih-Kuo; Yang, … - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 89-111
This study utilizes a multi-period structural model developed by Chen and Yeh (Pricing credit default swaps with the extended Geske–Johnson Model. Working paper, <CitationRef CitationID="CR10">2006</CitationRef>), which extends the Geske and Johnson (J Financ Quant Anal 19:231–232, <CitationRef CitationID="CR18">1984</CitationRef>) compound option model to evaluate the...</citationref></citationref>
