Analytic Solutions of Corporate Bond

Posted by Fred

Input:

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
Output:
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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