TY  - JOUR
ID  - Frankiewicz2004
LB  - Frankiewicz2004
AU  - Frankiewicz, Ewa
TI  - Pricing of a defaultable coupon bond in an extended Merton's model
ST  - Pricing of a defaultable coupon bond in an extended Merton's model
JO  - Opuscula Math.
JA  - Opuscula Math.
JF  - Opuscula Mathematica
PY  - 2004
VL  - 24
IS  - 1
SP  - 57
EP  - 69
DO  - http://dx.doi.org/10.7494/OpMath.2004.24.1.57
UR  - http://dx.doi.org/10.7494/OpMath.2004.24.1.57
AB  - 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.
KW  - arbitrage valuation
KW  - Markov processes
KW  - contraction semigroup
KW  - generators
SN  - 1232-9274
ER  -