Extending the Merton model with applications to credit value adjustment
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Publication:6165387
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
Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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