Is barrier version of merton model more realistic? Evidence from Europe
Year of publication: |
2014
|
---|---|
Authors: | Andrlíková, Petra |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | structural credit risk model | barrier option pricing theory | down-and-in option | default probability |
Series: | IES Working Paper ; 11/2014 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 78688343X [GVK] hdl:10419/102589 [Handle] RePEc:fau:wpaper:wp2014_11 [RePEc] |
Classification: | G12 - Asset Pricing ; G15 - International Financial Markets ; c58 ; C51 - Model Construction and Estimation |
Source: |
-
Is Barrier version of Merton model more realistic? Evidence from Europe
Andrlikova, Petra, (2014)
-
Is barrier version of merton model more realistic? : evidence from Europe
Andrlíková, Petra, (2014)
-
Is Barrier version of Merton model more realistic? Evidence from Europe
Andrlikova, Petra, (2014)
- More ...
-
Bayesian default probability models
Andrlíková, Petra, (2014)
-
Bayesian default probability models
Andrlíková, Petra, (2014)
-
Is barrier version of merton model more realistic? : evidence from Europe
Andrlíková, Petra, (2014)
- More ...