A stochastic delay model for pricing debt and equity: numerical techniques and applications

DOI10.1016/j.cnsns.2014.05.010zbMath1304.91237arXiv1304.2074OpenAlexW2963816996MaRDI QIDQ2513817

Elisabeth Kemajou Brown, Salah-Eldin A. Mohammed, Antoine Tambue

Publication date: 29 January 2015

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.2074

zbMATH Keywords

nonlinear differential equationsdelay equationsforecastingequitycomputational financedebt security

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Dynamical systems in optimization and economics (37N40) Corporate finance (dividends, real options, etc.) (91G50) Economic dynamics (91B55)

Related Items (3)

A stochastic delay model for pricing debt and equity: numerical techniques and applications ⋮ Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise ⋮ Fokker-Planck equations for time-delayed systems via Markovian embedding

Uses Software

• Algorithm 919
• phipm

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
• Exponential time integrators for stochastic partial differential equations in 3D reservoir simulation
• An exponential integrator for advection-dominated reactive transport in heterogeneous porous media
• A stochastic delay model for pricing debt and equity: numerical techniques and applications
• Algorithm 919
• A Delayed Black and Scholes Formula
• Complete Models with Stochastic Volatility
• Some mathematical results in the pricing of American options
• Stochastic equity volatility and the capital structure of the firm

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