Search Results - subject:"Merton's Model"

Examining the relationship between default risk and efficiency in Islamic and conventional banks

Saeed, Momna; Izzeldin, Marwan - In: Journal of economic behavior & organization : JEBO 132 (2016), pp. 127-154

Persistent link: https://www.econbiz.de/10011702883

Pricing default risk : the good, the bad, and the anomaly

Filipe, Sara Ferreira; Grammatikos, Theoharry; Michala, … - In: Journal of financial stability 26 (2016), pp. 190-213

Persistent link: https://www.econbiz.de/10011705288

Credit risk factors during the Asian and global financial crises

Chang, Hsiu-Yun - In: The international journal of business and finance … 10 (2016) 3, pp. 49-59

Persistent link: https://www.econbiz.de/10011621246

A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default

Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119

Persistent link: https://www.econbiz.de/10011566295

Predicting financial distress : revisiting the option-based model

Agrawal, Khushbu; Maheshwari, Yogesh - In: South Asian journal of global business research : … 5 (2016) 2, pp. 268-284

Persistent link: https://www.econbiz.de/10011592313

Computing Greeks for Lévy models : the fourier transform approach

Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016

Persistent link: https://www.econbiz.de/10011800675

Three Essays in Empirical Asset Pricing

Jacobs, Thomas A. - 2010

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally...

Persistent link: https://www.econbiz.de/10009477864

An investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives market

Jordaan, F. Y.; Van Rooyen, J. H. - 2010

instruments. The Black-Scholes-Merton model was the proposed model to be used. However, due to certain limitations the Modified … the two derivatives are the same in all respects, the premiums differ substantially when priced with the Black-Scholes-Merton … model. It is clear that pricing has to take place over the same calendar period due to market changes when comparing the …

Persistent link: https://www.econbiz.de/10009442277

Default Risk in Stochastic Volatility Models

Gersbach, Hans; Surulescu, Nicolae - 2010

probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10011753195

Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

Socaciu, Tiberiu; Patrut, Bogdan - In: BRAND. Broad Research in Accounting, Negotiation, and … 1 (2010) 1, pp. 5-10

This paper shows how can be estimated the value of an option if we assume the double- Heston model on a message-based architecture. For path trace simulation we will discretize continous model with an Euler division of time.

Persistent link: https://www.econbiz.de/10008619334