The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework (Q1723751)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework |
scientific article; zbMATH DE number 7022082
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework |
scientific article; zbMATH DE number 7022082 |
Statements
The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework (English)
0 references
14 February 2019
0 references
Summary: This paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond. Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for the embedded American options and firm bond valuations.
0 references
corporate bond valuation
0 references
compound Poisson framework
0 references
