Corporate bond pricing model with stochastically volatile firm value process

Woon Wook Jang, Young Ho Eom, Yong Joo Kang

Research output: Contribution to journalArticle


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
Publication statusPublished - 2016 Nov 1


All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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