A simple model of deferred callability in defaultable debt

DOI10.1016/J.EJOR.2010.06.005MaRDI QIDQ613455zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

barrier optionscallable perpetual debthybrid capital

Mathematics Subject Classification ID

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

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• Callable risky perpetual debt with protection period
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• scientific article; zbMATH DE number 1971720

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A note on adjusting correlation matrices
• Arbitrage Theory in Continuous Time
• Callable risky perpetual debt with protection period
• The pricing of options and corporate liabilities

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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