Evaluating corporate bonds with complicated liability structures and bond provisions
From MaRDI portal
Publication:2254005
DOI10.1016/j.ejor.2014.02.024zbMath1304.91234OpenAlexW1977487688MaRDI QIDQ2254005
Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu
Publication date: 4 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.02.024
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes ⋮ Structural recovery of face value at default
Cites Work
- The Pricing of Options and Corporate Liabilities
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- An integrated pricing model for defaultable loans and bonds
- Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
- Optimal capital structure and endogenous default
- Credit risk optimization using factor models
- Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
- A framework for valuing corporate securities
- Brownian Motion in the Stock Market
- Option pricing: A simplified approach
- Default probabilities in a corporate bank portfolio: a logistic model approach.
This page was built for publication: Evaluating corporate bonds with complicated liability structures and bond provisions
