A simple model of deferred callability in defaultable debt

DOI10.1016/J.EJOR.2010.06.005zbMATH Open1206.91082OpenAlexW1981109423MaRDI QIDQ613455FDOQ613455

Authors: Aksel Mjøs, Svein-Arne Persson 

Publication date: 20 December 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.06.005

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zbMATH Keywords

barrier optionscallable perpetual debthybrid capital

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)
• A note on adjusting correlation matrices
• Callable risky perpetual debt with protection period

Cited In (3)

• Default and Renegotiation: A Dynamic Model of Debt
• Callable risky perpetual debt with protection period
• Structural recovery of face value at default

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