A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results

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Elisabeth Kemajou; Salah-Eldin Mohammed; Antoine Tambue;
  • Subject: Quantitative Finance - Pricing of Securities

We consider that the price of a firm follows a non linear stochastic delay differential equation. We also assume that any claim value whose value depends on firm value and time follows a non linear stochastic delay differential equation. Using self-financed strategy and... View more
  • References (13)
    13 references, page 1 of 2

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