The use of absorbing boundaries in the analysis of bankruptcy
An explicit solution is given for the value of a risk neutral firm with stochastic revenue facing the possibility of bankruptcy. The analysis is conducted in continuous time. Uncertainty is modeled using an Ito process and bankruptcy is modeled as an absorbing boundary. The analysis yields an ord...
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| Language: | English |
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2009
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| Online Access: | http://hdl.handle.net/2429/9482 |