Pricing of perpetual corporate debt with default capital reorganization in jump-diffusion model
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Publication:4643033
DOI10.3969/J.ISSN.1005-3085.2017.04.004zbMATH Open1399.91132MaRDI QIDQ4643033FDOQ4643033
Authors: Jianwei Lin, Huimin Li 
Publication date: 25 May 2018
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- A jump-diffusion model for pricing corporate debt securities in a complex capital structure
jump-diffusion modelstructural methoddefault capital reorganizationperpetual corporate debtoptimal leverage ratio
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- Pricing of the corporate debt with the finite default observation period
- Pricing of perpetual corporate debt with bankruptcy reorganization in a double exponential jump-diffusion model
- RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT
- Debt-equity swap with finite time horizon -- variational inequality approach
- Valuation of the prepayment option of a perpetual corporate loan
- Pricing of the corporate debt and optimal default boundary in jump-diffusion model with -1 jump size
- A jump-diffusion model for pricing corporate debt securities in a complex capital structure
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