Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
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- Article
- Abstract
- THE FRAMEWORK FOR MODELING RISKY RATES
- A TWO-FACTOR GAUSSIAN MODEL FOR THE RISKY SHORT-RATES
- PRICING AND STOCHASTIC DYNAMIC FOR DEFAULTABLE BONDS UNDER THE TWO-FACTOR GAUSSIAN MODEL
- DEFAULTABLE COUPON-BEARING BONDS
- PRICING OPTIONS ON DEFAULTABLE BONDS
- OPTIONS ON DEFAULTABLE ZERO-COUPON BONDS
- OPTIONS ON DEFAULTABLE COUPON-BEARING BONDS
- MODEL’S CALIBRATION UNDER A MARKET-CONSISTENT APPROACH
- EMPIRICAL ANALYSIS
- CONCLUSION
- ADDITIONAL READING
- ENDNOTES
- REFERENCES
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