Corporate bond pricing model with stochastically volatile firm value process

Woon Wook Jang; Young Ho Eom; Yong Joo Kang

doi:10.1016/j.econlet.2016.09.018

Corporate bond pricing model with stochastically volatile firm value process

Woon Wook Jang, Young Ho Eom, Yong Joo Kang

Department of Business Administration

Research output: Contribution to journal › Article

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	https://doi.org/10.1016/j.econlet.2016.09.018
Publication status	Published - 2016 Nov 1

Fingerprint

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

Cite this

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

@article{7f357b80ae524627a3a8bcf4a1d3ec5f,

title = "Corporate bond pricing model with stochastically volatile firm value process",

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.",

author = "Jang, {Woon Wook} and Eom, {Young Ho} and Kang, {Yong Joo}",

year = "2016",

month = nov

day = "1",

doi = "10.1016/j.econlet.2016.09.018",

language = "English",

volume = "148",

pages = "41--44",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

}

TY - JOUR

T1 - Corporate bond pricing model with stochastically volatile firm value process

AU - Jang, Woon Wook

AU - Eom, Young Ho

AU - Kang, Yong Joo

PY - 2016/11/1

Y1 - 2016/11/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84988962344&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84988962344&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2016.09.018

DO - 10.1016/j.econlet.2016.09.018

M3 - Article

AN - SCOPUS:84988962344

VL - 148

SP - 41

EP - 44

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -

Access to Document

10.1016/j.econlet.2016.09.018