Extending the Merton model with applications to credit value adjustment

DOI10.1007/s10479-023-05289-3zbMath1528.91076OpenAlexW4362590740MaRDI QIDQ6165387

Frank J. Fabozzi, Ahmet Sensoy, Alper A. Hekimoglu, Erdinç Akyıldırım

Publication date: 31 July 2023

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-023-05289-3

zbMATH Keywords

financevariance-gamma processcredit value adjustmentMerton modelstructural credit risk

Mathematics Subject Classification ID

Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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