A jump-diffusion model for pricing corporate debt securities in a complex capital structure

DOI10.1088/1469-7688/1/6/303zbMath1405.91632OpenAlexW2105733069MaRDI QIDQ4646513

Teruyoshi Suzuki, Masaaki Kijima

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/1/6/303

zbMATH Keywords

stochastic interest ratejump-diffusionpricing corporate debt securities

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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