| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6417720 | Journal of Mathematical Analysis and Applications | 2015 | 14 Pages |
Abstract
In this paper, a free boundary model for pricing a corporate bond with credit rating migration is proposed. This is a new model for credit rating migration. The existence, uniqueness and regularity of the solution for the model are obtained together with some interesting properties. Furthermore, a numerical example is presented.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Bei Hu, Jin Liang, Yuan Wu,