Matrix priced bond price data are investigated to model the liquidity of a corporate bond. Preliminary study shows that the yield spread is wide when a yield history records jumps. As well as respecting the way how matrix prices are generated, this finding leads us to a conjecture that time series o
Leverage, options liabilities, and corporate bond pricing
โ Scribed by Hongming Huang; Yildiray Yildirim
- Publisher
- Springer US
- Year
- 2008
- Tongue
- English
- Weight
- 615 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
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