Pricing bonds and bond options with default risk

European Financial Management

Volumn 4, Issue 2, 1998, Pages 231-282

  Barone, Emilio ^a   Barone Adesi, Giovanni ^b   Castagna, Antonio ^c  

^a Istituto Mobiliare Italiano   (Italy)

^b UNIVERSITY OF ALBERTA   (Canada)

^c IMI Bank   (Luxembourg)

Author keywords

Cox Ingersoll Ross model; Credit spreads; Default risky bonds; Vulnerable options

Indexed keywords

EID: 84941939363     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/1468-036X.00065     Document Type: Article

References (0)