A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
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Publication:4958401
DOI10.1137/20M1343592zbMath1471.91612OpenAlexW3190001879MaRDI QIDQ4958401
Publication date: 8 September 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1343592
hysteresisdeadbandfree boundarycorporate bond pricingstructural modelbuffer zonecredit rating migration risks
Free boundary problems for PDEs (35R35) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)
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Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors, A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model
Cites Work
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- A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
- A free boundary problem for corporate bond with credit rating migration