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A free boundary problem for corporate bond with credit rating migration
16 references·4 citing·23 second hop
A free boundary problem for corporate bond with credit rating migration (2015)A free boundary problem for corporate bon…Mathematical Modeling and Methods of Option Pricing (2005)Mathematical Modeling and Met…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Valuing Convertible Bonds with Credit Risk (1998)Valuing Convertible Bonds wit…On cox processes and credit risky securities (1998)On cox processes and credit r…Valuing Risky Fixed Rate Debt: An Extension (1997)Valuing Risky Fixed Rate Debt…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic (1996)Pricing Credit-Sensitive Debt…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyCorporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate (2018)On a New Corporate Bond Prici…On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate (2017)On a Corporate Bond Pricing M…Utility indifference valuation of corporate bond with credit rating migration by structure approach (2016)Utility indifference valuatio…Asymptotic traveling wave solution for a credit rating migration problem (2016)Asymptotic traveling wave sol…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Why Does Stock Market Volatility Change Over Time? (1989)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Corporate financing and investment decisions when firms have information that investors do not have (1984)The cost of capital, corporation finance and the theory of investment (2008)The Impact of Uncertainty Shocks (2009)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)Capital markets research in accounting (2001)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1994Investment Under Uncertainty.9,566 cited
  • 1994Investment under Uncertainty9,092 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,422 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,119 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,029 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1997Valuing Risky Fixed Rate Debt: An Extension303 cited
  • 1996Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic249 cited
  • 1998Valuing Convertible Bonds with Credit Risk222 cited

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  • 2005Mathematical Modeling and Methods of Option Pricing196 cited
  • Cited by

    • 2017On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate24 cited
    • 2016Utility indifference valuation of corporate bond with credit rating migration by structure approach23 cited
    • 2016Asymptotic traveling wave solution for a credit rating migration problem23 cited
    • 2018On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate19 cited