Performance and determinants of the Merton structural model : evidence from hedging coefficients
Year of publication: |
September 2015
|
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Authors: | Barsotti, Flavia ; Del Viva, Luca |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 95-111
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Subject: | Credit risk | Hedge ratios | Corporate bond spreads | Spread sensitivity | Distress | Variance Gamma | Normal Inverse Gaussian | Hedging | Kreditrisiko | Unternehmensanleihe | Corporate bond | Zinsstruktur | Yield curve | Schätzung | Estimation | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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