Corporate bond pricing model with stochastically volatile firm value process

Woon Wook Jang, Young Ho Eom, Yong Joo Kang

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)41-44
Number of pages4
JournalEconomics Letters
Volume148
DOIs
Publication statusPublished - 2016 Nov 1

Fingerprint

Firm value
Maturity
Corporate bonds
Simulation study
Bond pricing
Bond prices
Structural model

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

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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.",
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Corporate bond pricing model with stochastically volatile firm value process. / Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo.

In: Economics Letters, Vol. 148, 01.11.2016, p. 41-44.

Research output: Contribution to journalArticle

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