Abstract
We propose a new structural model for corporate bond pricing that assumes stochastically volatile firm value process with before-maturity default possibility. We demonstrate the model's potential using a simulation study and provide a semi-analytic solution method for the bond prices.
| Original language | English |
|---|---|
| Pages (from-to) | 41-44 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 148 |
| DOIs | |
| Publication status | Published - 2016 Nov 1 |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
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Jang, W. W., Eom, Y. H., & Kang, Y. J. (2016). Corporate bond pricing model with stochastically volatile firm value process. Economics Letters, 148, 41-44. https://doi.org/10.1016/j.econlet.2016.09.018