Pricing defaultable debt: some exact results

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dc.creatorWang, D. F.
dc.date1998-08-16
dc.date.accessioned2026-07-07T12:11:05Z
dc.date.available2026-07-07T12:11:05Z
dc.descriptionIn 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.
dc.descriptionRevtex, 8 pages
dc.identifierhttps://arxiv.org/abs/cond-mat/9808168
dc.identifierhttp://arxiv.org/abs/cond-mat/9808168
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210115
dc.subjectStatistical Mechanics
dc.subjectPricing of Securities
dc.titlePricing defaultable debt: some exact results
dc.typetext

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