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Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks.
- Source :
-
Interfaces & Free Boundaries . 2020, Vol. 22 Issue 3, p285-316. 32p. - Publication Year :
- 2020
-
Abstract
- In this paper, we study asymptotic behaviors of a free boundary raised from the evaluation of a corporate bond subject to credit rating changes of the underlying company. The credit rating migration is modeled by a free boundary which separates different credit rating regions in a state space. We first formulate the mathematical problem and then establish the well-posedness of the problem and the long time-to-expiry behavior of the solution. As a result, we describe the location and asymptotic line of the free boundary. We also provide certain numerical simulations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14639963
- Volume :
- 22
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Interfaces & Free Boundaries
- Publication Type :
- Academic Journal
- Accession number :
- 146234980
- Full Text :
- https://doi.org/10.4171/IFB/442