The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework
Author
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-28
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond.
Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for the embedded American options and firm bond valuations.
American Psychological Association (APA)
Fan, Sheng. 2014. The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1013631
Modern Language Association (MLA)
Fan, Sheng. The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework. Abstract and Applied Analysis No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-1013631
American Medical Association (AMA)
Fan, Sheng. The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1013631
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013631
