A simple model of deferred callability in defaultable debt

DOI10.1016/j.ejor.2010.06.005zbMath1206.91082OpenAlexW1981109423MaRDI QIDQ613455

Aksel Mjøs, Svein-Arne Persson

Publication date: 20 December 2010

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.06.005

zbMATH Keywords

barrier optionscallable perpetual debthybrid capital

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Callable risky perpetual debt with protection period ⋮ Structural recovery of face value at default

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Callable risky perpetual debt with protection period
• A note on adjusting correlation matrices
• Arbitrage Theory in Continuous Time