Analytic Solutions of Corporate Bond

Posted by Fred


Value of Firm
Par Value (Face Value) of Bond
Time to Maturity Years
Interest Rate (annulized)
Dividend Yield (annulized)
Volatility (annulized)
Long Term Debt
Recovery Rate
Price of Corporate Bond:

Assume the value of firm is following Geometric Brownian motion and Black and Cox's default barrier, we have analystic solution for price of corporate bond.

Keywords: corporate bond calculator, defaultable bond, credit derivative

 •  Nov 10, 2013  • 

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