Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds

DOI10.1016/J.PHYSA.2019.123367zbMath1492.91365OpenAlexW2989008933WikidataQ126852248 ScholiaQ126852248MaRDI QIDQ2137616

Belal Ehsan Baaquie

Publication date: 16 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123367

zbMATH Keywords

path integraloscillator potentialcorporate coupon bondsMerton's equationstochastic couponssukuk

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30)

Cites Work

• Unnamed Item
• Default prediction with the Merton-type structural model based on the NIG Lévy process
• Bonds with index-linked stochastic coupons in quantum finance
• Merton's equation and the quantum oscillator. II: Option pricing
• Interest Rates and Coupon Bonds in Quantum Finance
• Quantum Field Theory for Economics and Finance
• Path Integrals and Hamiltonians
• Quantum Finance

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