@Article{Frankiewicz2004,
author = "Frankiewicz, Ewa",
title = "Pricing of a defaultable coupon bond in an extended Merton's model",
journal = "Opuscula Math.",
year = "2004",
volume = "24",
number = "1",
pages = "57--69",
doi = "http://dx.doi.org/10.7494/OpMath.2004.24.1.57",
url = "http://dx.doi.org/10.7494/OpMath.2004.24.1.57",
abstract = "Three alternative approaches to the valuation of a defaultable coupon bond in an extended Merton's model are given. Probabilistic approach yields a closed-form expression for the arbitrage price of this bond. A boundary value problem method is based on the concept of an CD-extended generator for Markov processes. The third approach relies on a recursive procedure method in which at every step a suitable Cauchy problem is solved.",
keywords = "arbitrage valuation, Markov processes, contraction semigroup, generators",
issn = "1232-9274"
}