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Showing 1 to 1 of 1 for “"Debt and Loan Guarantees"”.
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A Stochastic Delay Model for Pricing Corporate Liabilities
… that any claim whose value depends on firm value and time follows a nonlinear stochastic delay differential equation. Using self-financed strategy and replication we are able to derive a random partial differential equation (RPDE) satisfied by any corporate claim whose value is a function of firm …