| Abstract: |
| An asymptotic traveling wave solution of a free boundary model for pricing a corporate bond with credit rating migration risk is considered. The credit rating migration risk is measured by pricing a corporate bond. Under the structure framework, the moudel is turned to a free boundary problem, whose solution is convergent to a traveling wave, which has an explicit form.The existence, uniqueness and regularity of the solution are obtained. Furthermore, numerical examples are presented. |
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