Posted by
chiara.fornarola on
Aug 30, 2005; 3:24am
URL: http://quantlib.414.s1.nabble.com/Corporate-bond-pricing-within-liquidity-tp4009.html
Corporate bond pricing within liquidity
Hi,
I'm looking for some smart solution to estimate and express illiquidity premium in term of a zero-spread which can be added to the term structure of single issuer credit spreads in order to price illiquid bond.
I will appreciate very much any indication this question: papers, suggested readings, experience on this field.
Thank you
Chiara
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