A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
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Cites work
- A free boundary problem for corporate bond with credit rating migration
- A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
- Asymptotic traveling wave solution for a credit rating migration problem
- Existence, uniqueness, and asymptotic stability of traveling waves in nonlocal evolution equations
- Free boundaries of credit rating migration in switching macro regions
- Opaque bank assets and optimal equity capital
Cited in
(11)- Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
- Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks
- A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
- A free boundary problem for corporate bond with credit rating migration
- Front fixing finite difference method for pricing a corporate bond with credit rating migration
- On a multiple credit rating migration model with stochastic interest rate
- Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
- A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model
- A bond pricing model with credit migration risk: different upgrade and downgrade thresholds
- Variational inequalities arising from credit rating migration with buffer zone
- Structural pricing of a corporate bond with jumps and credit rating migration
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