Corporate bond pricing model with stochastically volatile firm value process

DOI10.1016/j.econlet.2016.09.018zbMath1398.91654OpenAlexW2522153435MaRDI QIDQ1672715

Woon Wook Jang, Yong Joo Kang, Young-Ho Eom

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.09.018

zbMATH Keywords

stochastic volatilityFortet equationstructural corporate bond pricing

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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