| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 390470 | Fuzzy Sets and Systems | 2009 | 11 Pages |
Abstract
This paper develops a structural model for defaultable bonds in a fuzzy environment. The numerical results calculated from the closed-form solution show that the fuzziness of the stochastic underlying asset and of bankruptcy costs have material impact on the term structure of credit spreads and the duration of defaultable bonds.
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