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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| Language: | en_ZA |
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2012
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| Online Access: | http://hdl.handle.net/10413/8153 |