A latent process model for the pricing of corporate securities
type: Item
instance of: scholarly article
title: A latent process model for the pricing of corporate securities
zbMATH Open document ID: 1166.91020
author: Masaaki Kijima
author: Teruyoshi Suzuki
author: Keiichi Tanaka
published in: Mathematical Methods of Operations Research
publication date: 2009-07-06T00:00:00Z
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 5575938
zbMATH Keywords: structural model
zbMATH Keywords: latent process
zbMATH Keywords: Black-Cox model
zbMATH Keywords: credit spread
MaRDI profile type: Publication
full work available at URL: s00186-008-0246-5
OpenAlex ID: W2029823232
cites work: CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
cites work: Q4039796
cites work: Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
cites work: Median Treatment Effect in Randomized Trials
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Failure inference from a marker process based on a bivariate Wiener model
DOI: 10.1007/S00186-008-0246-5
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description: scientific article; zbMATH DE number 5575938