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 |
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Pages (from-to) | 41-44 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 148 |
DOIs | |
Publication status | Published - 2016 Nov 1 |
Bibliographical note
Publisher Copyright:© 2016 Elsevier B.V.
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics