Search Results - subject:"Equity default swaps"

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Growth option and debt maturity with equity default swaps in a regime-switching framework

Luo, Pengfei; Yang, Zhaojun - In: Macroeconomic dynamics 23 (2019) 6, pp. 2250-2268

Persistent link: https://www.econbiz.de/10012127336

Irreversible investment, ambiguity and equity default swaps

Tang, Xiaolin; Yang, Zhaojun - In: Applied economics letters 25 (2018) 18, pp. 1301-1305

Persistent link: https://www.econbiz.de/10012135390

Real option, debt maturity and equity default swaps under negotiation

Gan, Liu; Luo, Pengfei; Yang, Zhaojun - In: Finance research letters 18 (2016), pp. 278-284

Persistent link: https://www.econbiz.de/10011657215

Pricing equity default swaps under the jump-to-default extended CEV model

Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Finance and Stochastics 15 (2011) 3, pp. 513-540

Persistent link: https://www.econbiz.de/10009324934

A Structural Model with Unobserved Default Boundary

Schmidt, Thorsten; Novikov, Alexander - In: Applied Mathematical Finance 15 (2008) 2, pp. 183-203

A firm-value model similar to the one proposed by Black and Cox (1976) is considered. Instead of assuming a constant and known default boundary, the default boundary is an unobserved stochastic process. This process has a Brownian component, reflecting the influence of uncertain effects on the...

Persistent link: https://www.econbiz.de/10005462524