Pricing formulae for constant proportion debt obligation notes: The Laplace transform technique

Çekiç, Ayşegül Işcanoğlu; Uğur, Ömür

doi:10.1016/j.cam.2013.06.006

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2016

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“…In addition, they offered advice on leverage adjustment and credit rating. Ç ekiç and Ugur [2] applied Laplace transformation to obtain a closed-form CPDO pricing formula.…”

Section: Introductionmentioning

confidence: 99%

Cpdo With Finite Termination: Maximal Return Under Cash-in and Cash-Out Conditions

Yang

Liang

2016

ANZIAM J.

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The maximal return and optimal leverage of a constant proportion debt obligation with finite termination and two boundaries are analysed by numerically solving Hamilton–Jacobi–Bellman equations. We discuss the probabilities of the asset value reaching the upper or lower bound under the optimal control and the optimal control problem with a time-varying boundary. Furthermore, we also analyse the relationship between the optimal return, the optimal policy and different parameters.

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“…In addition, they offered advice on leverage adjustment and credit rating. Ç ekiç and Ugur [2] applied Laplace transformation to obtain a closed-form CPDO pricing formula.…”

Section: Introductionmentioning

confidence: 99%

Cpdo With Finite Termination: Maximal Return Under Cash-in and Cash-Out Conditions

Yang

Liang

2016

ANZIAM J.

View full text Add to dashboard Cite

show abstract

Pricing formulae for constant proportion debt obligation notes: The Laplace transform technique

Cited by 1 publication

References 10 publications

Cpdo With Finite Termination: Maximal Return Under Cash-in and Cash-Out Conditions

Cpdo With Finite Termination: Maximal Return Under Cash-in and Cash-Out Conditions

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