A new approach for firm value and default probability estimation beyond Merton models

Computational Economics

Volumn 31, Issue 2, 2008, Pages 161-180

  Giuli, Maria Elena ^a   Fantazzini, Dean ^a   Maggi, Mario Alessandro ^a  

^a UNIVERSITY OF PAVIA   (Italy)

Author keywords

Bivariate option; Copula; Firm value; No arbitrage; Structural models

Indexed keywords

EID: 40549133212     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1007/s10614-007-9112-4     Document Type: Article

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