A two-factor structural model for valuing corporate securities

DOI10.1007/s11147-024-09203-2zbMath1546.91264MaRDI QIDQ6594918

Rim Chérif, Bruno Rémillard, Malek Ben-Abdellatif, Hatem Ben-Ameur

Publication date: 29 August 2024

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

finite elementsdynamic programmingparallel computingstochastic interest ratestructural model

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)

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