NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
53rd NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
Session ID : 3B22
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OS22-3
On the pricing of defaultable bonds using the framework of barrier options
*Motokazu IshizakaKoichiro Takaoka
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Abstract
We consider corporate bond pricing in the framework of structural model. We assume that default occurs if some condition are satisfied after the first passage time of the firm value to some barrier. This paper extends the Fujita-Ishizaka model by considering the general payoffs to the bondholder.
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© 2004 Committee for Mechanics and Structure,Science Council
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