Kijima, M.; Suzuki, T. - In: Quantitative Finance 1 (2001) 6, pp. 611-620
This paper proposes a jump-diffusion model, in closed form, to price corporate debt securities, senior and junior, with the same maturity and violation of the absolute priority rule. We take the structural approach that the firm's asset value follows a jump-diffusion process in a stochastic...