Debt rollover-induced local volatility model

Sokolinskiy, Oleg

doi:10.1007/s11156-018-0736-3

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Model Assumptions and Equity Valuation1

Introduction1

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2021

2022

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Cited by 2 publications

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“…Following Black and Cox (1976), Brockman and Turtle (2003) and Sokolinskiy (2019), we consider a firm that has assets in place, V t , with a market value obeying a log-normal diffusion process. We assume that the firm's assets provide a continuous stream of payments, fully distributed between the bondholders and the shareholders.…”

Section: Model Assumptions and Equity Valuationmentioning

confidence: 99%

“…The paper is related to Brockman and Turtle (2003) as well as the associated models (Black and Cox, 1976;Ericsson and Reneby, 2005;Forte and Lovreta, 2012;Sokolinskiy, 2019). From a technical perspective, our work is related to Mjøs and Persson (2010) and 2 Negative capital requirements can arise when: (i) the bank capital is reported on an inappropriate accounting basis (e.g.…”

Section: Introductionmentioning

confidence: 99%

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