Jump Diffusion Models for Risky Debts: Quality Spread Differentials
نویسندگان
چکیده
منابع مشابه
Jump Diffusion Models for Risky Debts: Quality Spread Differentials
The quality spread differential is defined to be the difference between the default premiums demanded for fixed rate and floating rate risky debts. The risky debt model based on Merton’s firm value approach is used to examine the behaviors of the quality spread differential of fixed rate and floating rate debts. We extend earlier result by adopting Geometric Brownian diffusion process with jump...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2003
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024903002158