A framework for valuing corporate securities

Jan Ericsson and Joel Reneby

Applied Mathematical Finance, 1998, vol. 5, issue 3-4, 143-163

Abstract: We suggest a methodology for valuing corporate securities that allows the straightforward derivation of closed form solutions for complex scenarios. The tractability of the framework stems from its modularity-we provide a number of intuitive building blocks that are sufficient for valuation in typical situations. A further advantage of our approach is that it makes economic interpretation far easier than what is typically possible with other approaches, such as solving systems of partial differential equations. As examples we consider a corporate coupon bond with discrete payments, and debt subject to strategic debt service.

Keywords: Option Pricing; Barrier Options; Corporate Debt; Credit Risk (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (37)

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Working Paper: A Framework for Valuing Corporate Securities (1998)
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DOI: 10.1080/135048698334619

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