CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

DOI10.1111/j.1467-9965.2009.00375.xzbMath1168.91379OpenAlexW2137313071MaRDI QIDQ3393976

S. G. Kou, Nan Chen

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00375.x

zbMATH Keywords

credit riskimplied volatilityjump diffusioncapital structuresmooth pastingyield spreads

Mathematics Subject Classification ID

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing the risks of default
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• Asset Prices in an Exchange Economy
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• First passage times of a jump diffusion process
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• Option pricing when underlying stock returns are discontinuous
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• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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