| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 471300 | Computers & Mathematics with Applications | 2007 | 8 Pages |
Abstract
An extension of the structural Merton’s model of risk of default is proposed. It is based on an analysis of possible sources of liquidity problems leading to bankruptcy. Pricing of a debt subject to default risk requires finding a value of an American put option, which is performed by a Monte-Carlo simulation of a discretisation of the underlying stochastic equations. This also allows an estimation of the probability of default.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Marek Capinski,