Pricing defaultable debt: some exact results

D. F. Wang
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D. F. Wang: TD Bank and Univ. of Waterloo

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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.

Date: 1998-08
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