This research attempts to propose closed-form solutions for prices of credit-risky bonds, assuming a nonzero correlation between interest rates and credit spreads. The times of default of a credit-risky bond are modelled as the jump times of a Cox process, following the method of Lando, with an...

This paper proposes closed-form solutions for pricing credit-risky discount bonds and their European call and put options in the intensity-based reduced-form framework, assuming the stochastic dynamics of both the risk-free interest rate and the credit-spread are driven by two correlated Ho-Lee...