Stochastic equity volatility and the capital structure of the firm

DOI10.1098/rsta.1994.0062zbMath0822.90012OpenAlexW2064140273MaRDI QIDQ4698070

Michel Crouhy, Dan Galai, Alain Bensoussan

Publication date: 14 May 1995

Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1994.0062

zbMATH Keywords

equity volatibility

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items (3)

On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models ⋮ A stochastic delay model for pricing debt and equity: numerical techniques and applications ⋮ Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

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