Pricing of zero-coupon and coupon cat bonds

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Risky coupon bonds as a portfolio of zero-coupon bonds

This paper characterizes conditions under which a risky coupon bond is equivalent to a portfolio of risky zero-coupon bonds. This characterization is extended to enable the estimation of firm specific zero-coupon bond prices from risky coupon bond prices for the determination of firm specific credit risk curves.  2004 Elsevier Inc. All rights reserved.

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ژورنال

عنوان ژورنال: Applicationes Mathematicae

سال: 2003

ISSN: 1233-7234,1730-6280

DOI: 10.4064/am30-3-6