A framework for valuing corporate securities
AbstractWe suggest a methodology for valuing corporate securities that allows the straightforward derivation of closed form solutions for complex scenarios. The tractability of the framework stems from its modularity-we provide a number of intuitive building blocks that are sufficient for valuation in typical situations. A further advantage of our approach is that it makes economic interpretation far easier than what is typically possible with other approaches, such as solving systems of partial differential equations. As examples we consider a corporate coupon bond with discrete payments, and debt subject to strategic debt service.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 5 (1998)
Issue (Month): 3-4 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141
Other versions of this item:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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CEPR Financial Markets Paper
0039, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
- Saa-Requejo, Jesus & Santa-Clara, Pedro, 1997. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt3w71g2ch, Anderson Graduate School of Management, UCLA.
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