A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds

DOI10.1137/20M1343592zbMath1471.91612MaRDI QIDQ4958401

Xinfu Chen, Jin Liang

Publication date: 8 September 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1343592

zbMATH Keywords

hysteresis; deadband; free boundary; corporate bond pricing; structural model; buffer zone; credit rating migration risks

Mathematics Subject Classification ID

35R35: Free boundary problems for PDEs

91G50: Corporate finance (dividends, real options, etc.)

91G40: Credit risk

Related Items

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

Cites Work

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