A framework for valuing corporate securities

DOI10.1080/135048698334619zbMath1009.91041OpenAlexW3125049043MaRDI QIDQ4541560

Joel Reneby, Jan Ericsson

Publication date: 4 September 2002

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

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0089.pdf

zbMATH Keywords

closed form solutionsdebtcorporate securities

Mathematics Subject Classification ID

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Cites Work

• The Pricing of Options and Corporate Liabilities
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Changes of numéraire, changes of probability measure and option pricing
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