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 › peer-review

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

Bibliographical note

Publisher Copyright:
© 2016 Elsevier B.V.

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2016.09.018

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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.",

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

note = "Publisher Copyright: {\textcopyright} 2016 Elsevier B.V.",

year = "2016",

month = nov,

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

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AU - Eom, Young Ho

AU - Kang, Yong Joo

PY - 2016/11/1

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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.

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JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

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Corporate bond pricing model with stochastically volatile firm value process

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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