Asymptotic traveling wave for a pricing model with multiple credit rating migration risk

In this paper, an asymptotic traveling wave of a free boundary problem related to a pricing model for corporate bond with multiple credit rating migration risk is studied. The pricing model is captured by a free boundary problem, whose existence, uniqueness and regularity of the solution are obtained such that the rationality of the model is guaranteed. The existence of a unique traveling wave in the free boundary problem is established with...