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~subject:"Option pricing theory"
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Option pricing theory
default threshold
7
Credit risk
3
Asymmetric information
2
Credit portfolio modelling
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Kreditrisiko
2
Optionspreistheorie
2
economic capital
2
enlargement of filtrations
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macroeconometric correlation model
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pricing of credit derivatives
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risk neutral probability measures
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scenario analysis
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Assets volatility
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Asymmetrische Information
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Bankruptcy prediction
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Capital structure
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Credit rating
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Default prediction
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Default risks
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Default threshold
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Derivat
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Derivative
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Estimation
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Forecasting model
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Fälligkeit
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Insolvency
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Kapitalstruktur
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Kreditwürdigkeit
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Merton model
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barrier option
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Afik, Zvika
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Arad, Ohad
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Galil, Koresh
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Hillairet, Caroline
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Jiao, Ying
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International journal of theoretical and applied finance
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Journal of empirical finance
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ECONIS (ZBW)
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Using Merton model for default prediction : an empirical assessment of selected alternatives
Afik, Zvika
;
Arad, Ohad
;
Galil, Koresh
- In:
Journal of empirical finance
35
(
2016
),
pp. 43-67
Persistent link: https://www.econbiz.de/10011662716
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2
Information asymmetry in pricing of credit derivatives
Hillairet, Caroline
;
Jiao, Ying
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 611-633
Persistent link: https://www.econbiz.de/10009298523
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