PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS

D. F. Wang ()
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D. F. Wang: Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ONT N2L 3E5 Canada and Toronto Dominion Bank, Canada

International Journal of Theoretical and Applied Finance (IJTAF), 1999, vol. 02, issue 01, 95-99

Abstract: In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky debt's price.

Keywords: Pricing defaultable debt; CIR term structure; Merton's approach (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1142/S0219024999000078

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