English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper is proposed a 2 factor structural PDE model of pricing puttablebond with credit risk and derived the analytical pricing formula. To this end,first, a 2 factor structural (PDE) model of pricing zero coupon bond withcredit risk is provided, the analytical pricing formula is derived under someconditions for default boundary and default recovery, and the strictmonotonicity of the bond price function with respect to the firm value variableis proved. Then a (2 factor) pricing model of the option on zero coupon bondwith credit risk is provided and under some condition on the exercise price itsanalytical pricing formula is derived by transforming the 2 factor model into aterminal boundary value problem for Black-Scholes equation with time dependentcoefficient using zero coupon bond as numeraire. Using it, we provide thepricing formulae of the puttable and callable bonds with credit risk.

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