Callable risky perpetual debt with protection period

DOI10.1016/J.EJOR.2010.04.017MaRDI QIDQ992618zbMATH OpenOpenAlexFDO

Authors Aksel Mjøs, Svein-Arne Persson

Publication date 9 September 2010

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

Full work available at URL http://hdl.handle.net/11250/298209

zbMATH Keywords

barrier optionscallable perpetual debtembedded optionsoptimal bankruptcy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A simple model of deferred callability in defaultable debt
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)

Cited in

(2)

• A simple model of deferred callability in defaultable debt
• Prepayment risk on callable bonds: theory and test

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