Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate-Reference-Cited by-同舟云学术

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Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate

Published:2020 Issue:6 Volume:5 Page:7746-7775
ISSN:2473-6988
Container-title:AIMS Mathematics
language:en
Short-container-title:

Author:

Huang Zhehao, ,Miao Yingting,Wang Zhenzhen, ,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

General Mathematics

Link

http://www.aimspress.com/article/10.3934/math.2020495/pdf

Reference7 articles.

1. F. Black, J. C. Cox, Valuing Corporate

2. E. Briys, F. de Varenne, Valuing risky fixed rate

3. G. d'Amico, G. Di Biase, J. Janssen, R. Manca, Semi-Markov Migration Models for Credit Risk, 1 Eds.,

4. M. G. Garrori, J. L. Menaldi, Green Functions for Second Order Parabolic Integro-differential Problems, 1 Eds., New

5. J. C. Hull, Options, Futures and Other Derivatives, 8 Eds., New

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asymptotic Behavior of Stochastic Reaction–Diffusion Equations;Mathematics;2024-04-24

2. Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration;Mathematics;2020-11-15

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