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dc.contributor.authorWang, Chuan-Juen_US
dc.contributor.authorDai, Tian-Shyren_US
dc.contributor.authorLyuu, Yuh-Dauhen_US
dc.date.accessioned2014-12-08T15:36:01Z-
dc.date.available2014-12-08T15:36:01Z-
dc.date.issued2014-09-01en_US
dc.identifier.issn0377-2217en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.ejor.2014.02.024en_US
dc.identifier.urihttp://hdl.handle.net/11536/24379-
dc.description.abstractThis paper presents a general and numerically accurate lattice methodology to price risky corporate bonds. It can handle complex default boundaries, discrete payments, various asset sales assumptions, and early redemption provisions for which closed-form solutions are unavailable. Furthermore, it can price a portfolio of bonds that accounts for their complex interaction, whereas traditional approaches can only price each bond individually or a small portfolio of highly simplistic bonds. Because of the generality and accuracy of our method, it is used to investigate how credit spreads are influenced by the bond provisions and the change in a firm\'s liability structure due to bond repayments. (C) 2014 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectPricingen_US
dc.subjectCredit risken_US
dc.subjectStructural modelen_US
dc.subjectDefaulten_US
dc.titleEvaluating corporate bonds with complicated liability structures and bond provisionsen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.ejor.2014.02.024en_US
dc.identifier.journalEUROPEAN JOURNAL OF OPERATIONAL RESEARCHen_US
dc.citation.volume237en_US
dc.citation.issue2en_US
dc.citation.spage749en_US
dc.citation.epage757en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000336110000034-
dc.citation.woscount0-
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