A dynamic program for valuing corporate securities

DOI10.1016/j.ejor.2015.10.026zbMath1346.91255OpenAlexW1866485205MaRDI QIDQ321036

Hatem Ben-Ameur, Tarek Fakhfakh, Mohamed Ali Ayadi

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.026

zbMATH Keywords

dynamic programmingstructural modelscorporate bondscorporate securitiesoption theory

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items

Integrated structural approach to credit value adjustment, Recursive lower and dual upper bounds for Bermudan-style options, Structural recovery of face value at default, CDS pricing with fractional Hawkes processes, Liquidation risk in insurance under contemporary regulatory frameworks

Uses Software

• Cuba
• GSL

Cites Work

• Unnamed Item
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• A framework for valuing corporate securities