Chen, Dar-Hsin; Chou, Heng-Chih; Wang, David; Zaabar, Rim - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 1973-1981
to the commonly adopted credit risk model, Merton’s model. Our empirical findings show that the barrier option model is … more powerful than Merton’s model in predicting bankruptcy in the emerging market. Moreover, we find that the barrier …