A latent process model for the pricing of corporate securities

DOI10.1007/s00186-008-0246-5zbMath1166.91020OpenAlexW2029823232MaRDI QIDQ1028533

Teruyoshi Suzuki, Masaaki Kijima, Keiichi Tanaka

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0246-5

zbMATH Keywords

credit spreadlatent processstructural modelBlack-Cox model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (1)

CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS

Cites Work

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• Median Treatment Effect in Randomized Trials
• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• Option pricing when underlying stock returns are discontinuous

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