An integral equation approach for bond prices with applications to credit spreads

Yu Ting Chen; Cheng Few Lee; Yuan Chung Sheu

doi:10.1142/9789811202391_0110

An integral equation approach for bond prices with applications to credit spreads

Yu Ting Chen, Cheng Few Lee, Yuan Chung Sheu

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摘要

We study bond prices in Black-Cox model with jumps in asset value. We assume that the jump size distribution is arbitrary and, if default occurs, following Longstaff and Schwartz [A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. Journal of Finance 50 (1995), 789-819] and Zhou [The Term Structure of Credit Spreads with Jump Risk. Journal of Banking & Finance 26 (2001), 2015-2040], the payoff at maturity date depends on a general write-down function. Under this general setting, we propose an integral equation approach for the bond prices. As an application of this approach, we study the analytic properties of the bond prices. Also we derive an infinite series expression for the bond prices.

原文	English
主出版物標題	Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)
發行者	World Scientific Publishing Co.
頁面	3849-3866
頁數	18
ISBN（電子）	9789811202391
ISBN（列印）	9789811202384
DOIs	https://doi.org/10.1142/9789811202391_0110
出版狀態	Published - 1 1月 2020

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10.1142/9789811202391_0110

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An integral equation approach for bond prices with applications to credit spreads

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