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A latent process model for the pricing of corporate securities
Kijima, Masaaki; Suzuki, Teruyoshi; Tanaka, Keiichi - In: Computational Statistics 69 (2009) 3, pp. 439-455
We propose a structural model with a joint process of tangible assets (marker) and firm status for the pricing of corporate securities. The firm status is assumed to be latent or unobservable, and default occurs when the firm status process reaches a default threshold at the first time. The...
Persistent link: https://www.econbiz.de/10010847575
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A latent process model for the pricing of corporate securities
Kijima, Masaaki; Suzuki, Teruyoshi; Tanaka, Keiichi - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 439-455
We propose a structural model with a joint process of tangible assets (marker) and firm status for the pricing of corporate securities. The firm status is assumed to be latent or unobservable, and default occurs when the firm status process reaches a default threshold at the first time. The...
Persistent link: https://www.econbiz.de/10010950005
Cover Image
A latent process model for the pricing of corporate securities
Kijima, Masaaki; Suzuki, Teruyoshi; Tanaka, Keiichi - In: Mathematical methods of operations research 69 (2009) 3, pp. 439-456
Persistent link: https://www.econbiz.de/10008257946
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The Pricing of Options with Stochastic Boundaries in a Gaussian Economy
Kijima, Masaaki; Suzuki, Teruyoshi - In: Journal of the Operations Research Society of Japan : JORSJ 50 (2007) 2, pp. 137-150
Persistent link: https://www.econbiz.de/10007767275