Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks (Q2226675)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7307910
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks |
scientific article; zbMATH DE number 7307910 |
Statements
Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks (English)
0 references
9 February 2021
0 references
Summary: In this paper, we study asymptotic behaviors of a free boundary raised from the evaluation of a corporate bond subject to credit rating changes of the underlying company. The credit rating migration is modeled by a free boundary which separates different credit rating regions in a state space. We first formulate the mathematical problem and then establish the well-posedness of the problem and the long time-to-expiry behavior of the solution. As a result, we describe the location and asymptotic line of the free boundary. We also provide certain numerical simulations.
0 references
credit rating
0 references
corporate bond
0 references
free boundary
0 references
asymptotic behavior
0 references
0.9051055312156676
0 references
0.8816033005714417
0 references
0.8418322205543518
0 references
0.8350962400436401
0 references
0.833977222442627
0 references
