A Free Boundary Problem for pricing a defaultable restricted callable corporate bonds ⁎ ⁎This work is supported by National Natural Science Foundation of China (No. 11671301) | Zendy

Jin Liang | Zendy; Ying Chen | Zendy

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A Free Boundary Problem for pricing a defaultable restricted callable corporate bonds ⁎ ⁎This work is supported by National Natural Science Foundation of China (No. 11671301)

Author(s) -

Jin Liang,

Ying Chen

Publication year - 2017

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2017.11.361

Subject(s) - callable bond , computer science , boundary (topology) , foundation (evidence) , work (physics) , bond , china , mathematical economics , operations research , mathematical optimization , finance , business , economics , mathematics , law , mechanical engineering , mathematical analysis , political science , engineering

In this paper, a free boundary model for pricing a defaultable and restricted callable corporate bonds is proposed. The pricing model is established and it is turns to a free boundary problem. Numerical analysis and example graphs with optimal calling boundaries are presented.

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