Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15
Prior research uses the basic one-period European call-option pricing model to compute default measures for individual … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …