Double free boundary problem for defaultable corporate bond with credit rating migration risks and t...
Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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In this work, a pricing model for a defaultable corporate bond with credit rating migration risk is established. The model turns out to be a free boundary problem with two free boundaries. The latter are the level sets of the solution but of different kinds. One is from the discontinuous second order term, the other from the obstacle. Existence, un...
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Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
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TN_cdi_proquest_journals_2770179073
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2770179073
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2331-8422
