摘要
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.
- 出版日期2007-8