On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate
In this paper we study a corporate bond-pricing model with credit rating migration and astochastic interest rate. The volatility of bond price in the model strongly depends on potential creditrating migration and stochastic change of the interest rate. This new model improves the previousexisting mo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2017-10-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | http://www.aimspress.com/QFE/article/1647/fulltext.html |