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Persistent link: https://www.econbiz.de/10003858268
This paper proposes a new pricing model for corporate securities issued by a levered firm with the possibility of debt renegotiation. We take the structural approach that the firm's earnings follow a geometric Brownian motion with stochastic collaterals. While equity holders can default the firm...
Persistent link: https://www.econbiz.de/10008611550