Collin-Dufresne, P.; Goldstein, R.; Hugonnier, J. - In: Econometrica 72 (2004) 5, pp. 1377-1407
Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, we generalize this result by...