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- W2348949765 abstract "In this paper, the pricing of corporate bonds is analyzed with consideration of credit rating migration risks. Assume that the credit rating migration relates to the firm's asset value which follows a geometric Brownian motion. Under the structure framework, two pricing models are established. The models can be transformed to two partial differential equations which coupled by different given conditions at the transfer boundary. The relationship of the two model has been discussed, and a closed form solution of Model II has been obtained. Furthermore, graphs of the solutions of both models with parameters analysis are presented, and their financial meanings are discussed." @default.
- W2348949765 created "2016-06-24" @default.
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- W2348949765 date "2015-01-01" @default.
- W2348949765 modified "2023-09-25" @default.
- W2348949765 title "Corporate bonds pricing under credit rating migration and structure framework" @default.
- W2348949765 hasPublicationYear "2015" @default.
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