Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4609467 | Journal of Differential Equations | 2016 | 29 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Jin Liang, Yuan Wu, Bei Hu,