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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/39756

Title: Defaultable Puttable/Callable Bond Valuation: A 3D Finite Difference Model
Authors: David Wang;Heng-chih Chou
Contributors: 國立臺灣海洋大學:航運管理學系
Keywords: Defaultable Bond;Embedded Option;Partial Differential Equation;Finite Difference Method
Date: 2005-01
Issue Date: 2016-12-29T08:26:55Z
Publisher: Journal of Academy of Business and Economics
Abstract: Abstract:This paper presents a 3D model for pricing defaultable bonds with embedded put/call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and put/call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is allowed to be correlated with the default-free term structure. The put/call provision is modeled as a constraint on the value of the bond in the finite difference scheme. This paper can provide new insight for future research on defaultable bond pricing models.
Relation: 5(2), pp.53-61
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/39756
Appears in Collections:[航運管理學系] 期刊論文

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