A latent process model for the pricing of corporate securities

DOI10.1007/S00186-008-0246-5zbMATH Open1166.91020OpenAlexW2029823232MaRDI QIDQ1028533FDOQ1028533

Teruyoshi Suzuki, Masaaki Kijima, Keiichi Tanaka

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0246-5

zbMATH Keywords

latent processstructural modelcredit spreadBlack-Cox model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Failure inference from a marker process based on a bivariate Wiener model
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• Median Treatment Effect in Randomized Trials

Cited In (1)

• CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS

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