Analytic Solution to the Two Dimension Merton Model

We present an exact analytic solution to the two-dimensional correlated default structural Merton model in the form of a local volatility problem using a conformal square-root transformation of the exact solution to a 2D hybrid barrier problem. We also give an approximation and evaluate it numerically to give an example. Finally we give an exact simpler solution for the zero correlation case

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Year of publication:	2016
Authors:	Dash, Jan
Other Persons:	Bondioli, Mario (contributor) ; Stein, Harvey J. (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory

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