Serving the Quantitative Finance Community
Structural credit modelling and perpetual risky coupon bond
Browsing through the original Merton (1973) paper on the pricing of corporate debt, I stumbled across a section on the valuation of perpetual, risky, coupon paying, non-callable bonds.Merton suggest a formula containing "the Gamma function" and "the confluent hypergeometric function". This does not ring any bell whatsoever. Can anyone help me out with workable, readable approaches to valuing these securities? Preferably (a) reference(s) with pricing formulae or a binomial pricing approach for these babies....Many thanks in advance!Michal