Applying default probabilities in an exponential barrier structural model

This paper shows that the use of a time-dependant barrier in a structural model improve its flexibility because it allows to incorporate, as input, the probability of default. The main result achieved is the assessment that the default barrier is, indeed,characterized by a non flat structure. JEL Classification: G13, G33

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Year of publication:	2010-06
Authors:	Agosto, Arianna ; Moretto, Enrico
Institutions:	Facoltà di Economia, Università degli Studi dell'Insubria
Subject:	default structural models \| barrier options with exponential boundaries \| implied default probability

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Extent:	application/pdf
Series:	Economics and Quantitative Methods.
Type of publication:	Book / Working Paper
Language:	English
Notes:	15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008574235