A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
Author:
Funder
National Natural Science Foundation of China
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/20M1343592
Reference19 articles.
1. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS
2. Valuing Risky Fixed Rate Debt: An Extension
3. Opaque bank assets and optimal equity capital
4. Modeling Term Structures of Defaultable Bonds
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