A two-factor structural model for valuing corporate securities

DOI10.1007/S11147-024-09203-2MaRDI QIDQ6594918zbMATH OpenFDO

Authors Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif, Bruno Rémillard

Publication date 29 August 2024

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11147-024-09203-2

zbMATH Keywords

dynamic programmingfinite elementsparallel computingstochastic interest ratestructural model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A dynamic program for valuing corporate securities
• A framework for valuing corporate securities
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• An irregular grid approach for pricing high-dimensional American options
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Does modeling framework matter? A comparative study of structural and reduced-form models
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
• Monte Carlo methods for security pricing
• Multinomial Approximating Models for Options with k State Variables
• Specification analysis of structural credit risk models
• Statistical methods for financial engineering

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