info:eu-repo/semantics/article
Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
Fecha
2005-06Registro en:
Cané de Estrada, Mariano; Cortina, Elsa Aurora; Ferro Fontan, Constantino; Fiori, Javier di; Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis; Springer; Review of Derivatives Research; 8; 1; 6-2005; 49-60
1380-6645
CONICET Digital
CONICET
Autor
Cané de Estrada, Mariano
Cortina, Elsa Aurora
Ferro Fontan, Constantino
Fiori, Javier di
Resumen
In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina.