Search Results - subject:"Merton's Model"

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47

We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...

Persistent link: https://www.econbiz.de/10012415568

Climate risk stress testing : a conceptual review

Reinders, Henk Jan; Schoenmaker, Dirk; Dijk, Mathijs van - 2023

Persistent link: https://www.econbiz.de/10013549894

Contingent claims analysis in corporate finance

Crouhy, Michel; Galai, Dan; Wiener, Zvi - In: Options - 45 years since the publication of the …, (pp. 495-520). 2023

Persistent link: https://www.econbiz.de/10014366691

Do decreases in Distance-to-Default predict rating downgrades?

Aggarwal, Nidhi; Singh, Manish K.; Thomas, Susan - In: Economic modelling 129 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014472233

Women in power with power : the influence of meaningful board representation on default risk

Abinzano, Isabel; Martinez, Beatriz; Poletti-Hughes, Jannine - In: International review of financial analysis 89 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014465510

A finance approach to climate stress testing

Reinders, Henk Jan; Schoenmaker, Dirk; Dijk, Mathijs van - In: Journal of international money and finance 131 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248859

Dynamic asset allocation with multiple regime-switching markets

Shi, Jianmin - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1741-1755

Persistent link: https://www.econbiz.de/10014253444

Artificial Neural Networks Performance in WIG20 Index Options Pricing

Wysockia, Maciej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322176

Estimating probabilities of default of different firms and the statistical tests

Dar, Amir Ahmad; Anuradha, N.; Qadir, Shahid - In: Journal of Global Entrepreneurship Research 9 (2019) 27, pp. 1-15

Abstract: The probability of default (PD) is the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. Purpose: This paper computes the probability of default (PD) of utilizing market-based data which...

Persistent link: https://www.econbiz.de/10013328856

Distance to default and probability of defaultdan experimental study

Dar, Amir Ahmad; Qadir, Shahid - In: Journal of Global Entrepreneurship Research 9 (2019) 32, pp. 1-12

The distance to default (DD) and the probability of default (PD) are the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. It is crucial to know which parameter effects more on DD and PD so that...

Persistent link: https://www.econbiz.de/10013328861