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Fan, Sheng

The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework. (English) Zbl 1406.91477

Abstr. Appl. Anal. 2014, Article ID 282185, 10 p. (2014).
Summary: This paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond. Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for the embedded American options and firm bond valuations.

MSC:

91G50 Corporate finance (dividends, real options, etc.)
91G20 Derivative securities (option pricing, hedging, etc.)
60G40 Stopping times; optimal stopping problems; gambling theory

Keywords:

corporate bond valuation; compound Poisson framework
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References:

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