The Merton's default risk model for private company

DOI10.3934/JIMO.2024015MaRDI QIDQ6574047FDO

Authors Battulga Gankhuu

Publication date 18 July 2024

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

zbMATH Keywords

default riskoptionMerton's structural modellog private company valuation modelprivate company

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1001734 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Changes of numéraire, changes of probability measure and option pricing
• Quantitative risk management. Concepts, techniques and tools
• The pricing of options and corporate liabilities

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