Batlle, Maria Carmen Badia; Rodriguez, M. Mercedes Galisteo - Facultat d'Economia i Empresa, Universitat de Barcelona - 2006
In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place...