On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process
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References listed on IDEAS
- Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 377-389, September.
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KeywordsCoporate debt; Ornstein-Uhlenbeck process; default time;
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-31 (All new papers)
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