scientific article; zbMATH DE number 7267189

DOI10.11908/J.ISSN.0253-374X.19312MaRDI QIDQ5128092zbMATH OpenFDO

Authors

Publication date 27 October 2020

Full work available at URL https://doi.org/10.11908/J.ISSN.0253-374X.19312

zbMATH Keywords

bond pricingcredit rating migrationstructure modeltwo-asset

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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(6)

• Pricing permanent convertible bonds in EVG model
• Pricing on a defaultable and callable corporate bond with credit rating migration under the structure framework
• The pricing of perpetual convertible bond with credit risk
• A bond pricing model with credit migration risk: different upgrade and downgrade thresholds
• Structural pricing of a corporate bond with jumps and credit rating migration
• Utility indifference valuation of corporate bond with rating migration risk

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