Duan, Jin-Chuan; Fulop, Andras - In: Journal of Econometrics 150 (2009) 2, pp. 288-296
The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan [Duan, J.-C., 1994. Maximum likelihood estimation using price data of the derivative contract. Mathematical Finance 4, 155-167] is extended to account for the fact that observed...
