Analytic Solution to the Two Dimension Merton Model

We present an exact analytic solution to the two-dimensional correlated default structural Merton model in the form of a local volatility problem using a conformal square-root transformation of the exact solution to a 2D hybrid barrier problem. We also give an approximation and evaluate it numerically to give an example. Finally we give an exact simpler solution for the zero correlation case

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Year of publication:	2016
Authors:	Dash, Jan
Other Persons:	Bondioli, Mario (contributor) ; Stein, Harvey J. (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 11, 2016 erstellt
Other identifiers:	10.2139/ssrn.2808117 [DOI]
Classification:	C1 - Econometric and Statistical Methods: General ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C63 - Computational Techniques ; E44 - Financial Markets and the Macroeconomy ; f65 ; G1 - General Financial Markets ; Y1 - Data: Tables and Charts
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012987075