Defaultable Debt Pricing in Multi-Factor Models
This paper employs the structural approach to study defaultable debt pricing under multi-factor models. We extend existing results under the structural approach in two directions. By incorporating multiple factors, we can capture the impact of other economic variables on the debt prices apart from t...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2002
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2633 https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8700686&site=ehost-live |
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| Institution: | Singapore Management University |
| Language: | English |