The Merton's default risk model for private company

DOI10.3934/JIMO.2024015MaRDI QIDQ6574047FDOQ6574047

Authors: Battulga Gankhuu 

Publication date: 18 July 2024

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Quantitative risk management. Concepts, techniques and tools
• Title not available (Why is that?)
• Changes of numéraire, changes of probability measure and option pricing
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)

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