Escobar, Marcos; Friederich, Tim; Seco, Luis; Zagst, Rudi - In: Journal of Financial Transformation 32 (2011), pp. 123-132
This paper assumes a structural credit model with underlying stochastic volatility combining the Black/Cox approach with the Heston model. We model the equity of a company as a barrier call option on its assets. The assets are assumed to follow a stochastic volatility process; this implies an...