Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10012097961
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...
Persistent link: https://www.econbiz.de/10005231766