کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4609467 | 1338513 | 2016 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotic traveling wave solution for a credit rating migration problem
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, an asymptotic traveling wave solution of a free boundary model for pricing a corporate bond with credit rating migration risk is studied. This is the first study to associate the asymptotic traveling wave solution to the credit rating migration problem. The pricing problem with credit rating migration risk is modeled by a free boundary problem. The existence, uniqueness and regularity of the solution are obtained. Under some condition, we proved that the solution of our credit rating problem is convergent to a traveling wave solution, which has an explicit form. Furthermore, numerical examples are presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Differential Equations - Volume 261, Issue 2, 15 July 2016, Pages 1017–1045
Journal: Journal of Differential Equations - Volume 261, Issue 2, 15 July 2016, Pages 1017–1045
نویسندگان
Jin Liang, Yuan Wu, Bei Hu,