First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
Martina Nardon ()
Frontiers in Finance and Economics, 2008, vol. 5, issue 2, 1-25
Keywords: credit risk; sturctural models; default boundary; first-passage time; excursion time (search for similar items in EconPapers)
JEL-codes: C15 C63 G12 G13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ffe:journl:v:5:y:2008:i:2:p:1-25
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