Corporate bond pricing model with stochastically volatile firm value process

被引：1

作者：

Jang, Woon Wook ^{[1
]}

Eom, Young Ho ^{[2
]}

Kang, Yong Joo ^{[2
]}

机构：

[1] Yonsei Univ, Coll Govt & Business, 1 Yonseidae Gil, Wonju 220710, Gangwon Do, South Korea

[2] Yonsei Univ, Sch Business, 50 Yonsei Ro, Seoul 120749, South Korea

来源：

ECONOMICS LETTERS | 2016年 / 148卷

关键词：

Structural corporate bond pricing; Stochastic volatility; Fortet equation; SPREADS;

D O I：

10.1016/j.econlet.2016.09.018

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a new structural model for corporate bond pricing that assumes stochastically volatile firm value process with before-maturity default possibility. We demonstrate the model's potential using a simulation study and provide a semi-analytic solution method for the bond prices. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：41 / 44

页数：4

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