Corporate security prices in structural credit risk models with incomplete information-Reference-Cited by-同舟云学术

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Corporate security prices in structural credit risk models with incomplete information

Published:2018-02-12 Issue:1 Volume:29 Page:84-116
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Frey Rüdiger¹,Rösler Lars¹,Lu Dan¹

Affiliation:

1. Institute of Statistics and Mathematics; Vienna University of Economics and Business (WU); Vienna Austria

Funder

Vienna Science and Technology Fund

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12176/fullpdf

Reference37 articles.

1. A model of asset pricing under country risk;Andrade;Journal of International Money and Finance,2009

2. Fundamentals of Stochastic Filtering

3. Valuing corporate securities: Some effects of bond indenture provisions;Black;Journal of Finance,1976

4. Hazard rate for credit risk and hedging defaultable contingent claims;Blanchet-Scalliet;Finance and Stochastics,2004

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1. A general firm value model under partial information;Journal of Computational Finance;2022

2. THE DEVELOPMENT OF CORPORATE SECURITY IN THE CONTEXT OF COUNTERING THREATS TO DOING BUSINESS;Business: Theory and Practice;2021-06-15

3. PROVIDING THE CORPORATE SECURITY STRATEGY IN THE MANAGEMENT SYSTEM OF THE ENTERPRISE;Business: Theory and Practice;2020-10-30

4. Corporate security prices in structural credit risk models with incomplete information;Mathematical Finance;2018-02-12

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