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 |
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All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
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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 journal › Article
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 -