A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets

DOI10.1080/14697688.2019.1683220zbMath1466.91370OpenAlexW2985042317WikidataQ126806555 ScholiaQ126806555MaRDI QIDQ4991036

Lyudmila Korobenko, A. Deniz Sezer, Juan Dong

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1683220

zbMATH Keywords

stochastic controlcredit riskilliquiditymean variance hedgingMerton's model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) Credit risk (91G40)

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