Stochastic volatility effects on defaultable bonds.

Stochastic volatility effects on defaultable bonds.

We study the eff ects of stochastic volatility of defaultable bonds using the first -passage structural approach. In this approach Black and Cox (1976) argued that default can happen at any time. This then led to the development of afirst-passage model, in which a rm (company) default occurs when i...

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Bibliographic Details
Main Author: Mkize, Thembisile.
Other Authors: O'Hara, John G.
Language:en_ZA
Published: 2012
Subjects:
Bond issues.
Stochastic processes.
Theses > Statistics and actuarial science.
Online Access:http://hdl.handle.net/10413/8153

Internet

http://hdl.handle.net/10413/8153

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