Is Barrier version of Merton model more realistic? Evidence from Europe
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More about this item
Keywords
structural credit risk model; barrier option pricing theory; down-and-in option; default probability;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-03-27 (Risk Management)
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