Pricing corporate defaultable bond using declared firm value

MaRDI QIDQ5358789zbMATH OpenFDO

Authors Hyong-Chol O, Jong-Jun Jo, Chol-Ho Kim

Publication date 22 September 2017

Full work available at URL https://arxiv.org/abs/1302.3654, http://fcag-egypt.com/Journals/EJMAA/Vol2(1)_Papers/Volume2(1)_Paper1_Abstract.html

zbMATH Keywords

default intensitydefaultable bondexpected defaultpartial differential equationunexpected default

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

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