no code implementations • 17 Aug 2021 • Hyong-Chol O, Tae-Song Kim, Tae-Song Choe
The simplest case of the structural model of the credit bond is studied and its pricing formula is provided, and based on the results, the pricing model of option on corporate bond with credit risk is transformed into a terminal boundary value problem of the Black-Scholes equation with some special maturity payoff functions and the solution formula is obtained.
