The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework (Q1723751): Difference between revisions
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Latest revision as of 04:38, 18 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework |
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The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework (English)
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14 February 2019
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Summary: This paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond. Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for the embedded American options and firm bond valuations.
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corporate bond valuation
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compound Poisson framework
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