collaborators

1 paper

q-fin.PR2022

Analytical Pricing of 2 Factor Structural PDE model for a Puttable Bond with Credit Risk

Hyong Chol O, Dae Song Choe, Gyong-Dok Rim

In this paper is proposed a 2 factor structural PDE model of pricing puttable bond with credit risk and derived the analytical pricing formula. To this end, first, a 2 factor struc…