Robustness of distance-to-default
Year of publication: |
2015
|
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Authors: | Jessen, Cathrine ; Lando, David |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 50.2015, p. 493-505
|
Subject: | Default risk | Distance-to-default | Merton's model | Stochastic volatility | Jump-diffusion | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Robustes Verfahren | Robust statistics |
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