Pricing defaultable debt: some exact results

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In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky debt's price.
Revtex, 8 pages

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Statistical Mechanics, Pricing of Securities

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http://salesiana.dossiersoluciones.com/handle/123456789/210115

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9808168
 http://arxiv.org/abs/cond-mat/9808168

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arXiv