Before revision: In this article, we study the problem of pricing defaultable bond with discrete default intensity , discrete default barrier and exogenous default recovery. The motivation is the fact that the investor outside of the firm can know the firm information like default barrier only in some discrete dates such as announcing dates of firm management information and the credit rating of the firm that reflects the default intensity is generally not changed between the two adjacent announcing dates. In our model, the risk free short rate follows a generalized Hull-White model.
After revision: In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate follows a generalized Hull-White model.