Chen, Dar-Hsin; Chou, Heng-Chih; Wang, David; Zaabar, Rim - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 1973-1981
Most empirical research of the path-dependent, exotic-option credit risk model focuses on developed markets. Taking Taiwan as an example, this study investigates the bankruptcy prediction performance of the path-dependent, barrier option model in the emerging market. We adopt Duan’s (1994)...
