A dynamic program for valuing corporate securities

DOI10.1016/J.EJOR.2015.10.026MaRDI QIDQ321036zbMATH OpenOpenAlexFDO

Authors Hatem Ben-Ameur, Tarek Fakhfakh, Mohamed A. Ayadi

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2015.10.026

zbMATH Keywords

corporate bondscorporate securitiesdynamic programmingoption theorystructural models

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A dynamic programming approach to constrained portfolios
• A dynamic programming approach to price installment options
• A framework for valuing corporate securities
• A structural model of debt pricing with creditor-determined liquidation
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Cuba -- a library for multidimensional numerical integration
• Extending the Merton model: A hybrid approach to assessing credit quality
• Game theoretic analysis of negotiations under bankruptcy
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• Market discipline of subordinated debt in banking: The case of costly bankruptcy
• Portfolio optimization in a regime-switching market with derivatives
• Resolution of financial distress under Chapter 11
• The informational content of subordinated debt and equity prices in the presence of bankruptcy costs
• The pricing of options and corporate liabilities

Cited in

(9)

• Integrated structural approach to credit value adjustment
• CDS pricing with fractional Hawkes processes
• Recursive lower and dual upper bounds for Bermudan-style options
• Structural recovery of face value at default
• The valuation of corporations: a derivative pricing perspective
• A framework for valuing corporate securities
• A two-factor structural model for valuing corporate securities
• Quasi-maximum likelihood for estimating structural models
• Liquidation risk in insurance under contemporary regulatory frameworks

Describes a project that uses

Uses Software

• Cuba
• GSL

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