Exploiting default probabilities in a structural model with nonconstant barrier-Reference-Cited by-同舟云学术

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Exploiting default probabilities in a structural model with nonconstant barrier

Published:2012-02-10 Issue:8 Volume:22 Page:667-679
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Agosto Arianna¹,Moretto Enrico²³

Affiliation:

1. a Dipartimento di Scienze Statistiche , Università degli Studi di Bologna , Via delle Belle Arti 41, 40126 Bologna , Italy

2. b Dipartimento di Economia , Università degli Studi dell’Insubria , via Monte Generoso 71, 21100 Varese , Italy

3. c CNR-IMATI , via Bassini 15, 20133 Milano , Italy

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.621883

Reference22 articles.

1. Forecasting Default with the Merton Distance to Default Model

2. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

3. A barrier option framework for corporate security valuation

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