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dc.contributor.authorBaaquie, Belal E.-
dc.date.accessioned2020-10-23T11:15:36Z-
dc.date.available2020-10-23T11:15:36Z-
dc.date.issued2020-
dc.identifier.citationBaaquie, Belal E. (2020). Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds. Physica A: Statistical Mechanics and its Applications, 541. https://doi.org/10.1016/j.physa.2019.123367en_US
dc.identifier.issn0378-4371-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3303-
dc.description.abstractMerton has proposed a model of the contingent claims on a firm as an option on the firms value, and the model is based on a generalization of the Black-Scholes stochastic equation. Merton's model can be used to price any contingent claim on the firm. A risk-sharing oscillator model for the pricing of corporate coupon bonds is proposed that leads to stochastic coupons, with the dynamics of the contingent claims being determined by the quantum oscillator. The oscillator model allows for the exact derivation of many results using quantum mathematics. The price of the risk-sharing coupon bonds and the stochastic coupons is derived exactly using the Feynman path integral.en_US
dc.languageEnglish-
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.rights2020. Elsevier B.V.-
dc.sourceSEDONA-
dc.subjectMerton's equationen_US
dc.subjectCorporate coupon bondsen_US
dc.subjectSukuken_US
dc.subjectStochastic couponsen_US
dc.subjectOscillator potentialen_US
dc.subjectPath integralen_US
dc.titleMerton's equation and the quantum oscillator: pricing risky corporate coupon bondsen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
dc.identifier.doihttps://doi.org/10.1016/j.physa.2019.123367-
ikr.doctypeScholarly Works-
ikr.licensePublication status: Published online on 2 November 2019. Full text not available from this repository.-
Appears in Collections:Journal Article


There are no files associated with this item.
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBaaquie, Belal E.-
dc.date.accessioned2020-10-23T11:15:36Z-
dc.date.available2020-10-23T11:15:36Z-
dc.date.issued2020-
dc.identifier.citationBaaquie, Belal E. (2020). Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds. Physica A: Statistical Mechanics and its Applications, 541. https://doi.org/10.1016/j.physa.2019.123367en_US
dc.identifier.issn0378-4371-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3303-
dc.description.abstractMerton has proposed a model of the contingent claims on a firm as an option on the firms value, and the model is based on a generalization of the Black-Scholes stochastic equation. Merton's model can be used to price any contingent claim on the firm. A risk-sharing oscillator model for the pricing of corporate coupon bonds is proposed that leads to stochastic coupons, with the dynamics of the contingent claims being determined by the quantum oscillator. The oscillator model allows for the exact derivation of many results using quantum mathematics. The price of the risk-sharing coupon bonds and the stochastic coupons is derived exactly using the Feynman path integral.en_US
dc.languageEnglish-
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.rights2020. Elsevier B.V.-
dc.sourceSEDONA-
dc.subjectMerton's equationen_US
dc.subjectCorporate coupon bondsen_US
dc.subjectSukuken_US
dc.subjectStochastic couponsen_US
dc.subjectOscillator potentialen_US
dc.subjectPath integralen_US
dc.titleMerton's equation and the quantum oscillator: pricing risky corporate coupon bondsen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
dc.identifier.doihttps://doi.org/10.1016/j.physa.2019.123367-
ikr.doctypeScholarly Works-
ikr.licensePublication status: Published online on 2 November 2019. Full text not available from this repository.-
Appears in Collections:Journal Article


There are no files associated with this item.