Chiang, Shu-Ling; Tsai, Ming-Shann - In: Quantitative Finance 10 (2010) 1, pp. 49-58
A closed-form formula for the analysis of defaultable bonds is essential for market practitioners and financial researchers. In order to make the model more reasonable without loss of generality, it is necessary to specify the stochastic processes of the default-free short interest rate, the...