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Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations

Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for ...
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Description: This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for the pricing of corporate debt and adopts this approach to the valuation of government loan guarantees for companies in financial distress.
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- Authors: Elisabeth Kemajou-Brown
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments

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Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations