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

DOI10.1007/S10614-007-9112-4zbMath1136.91505OpenAlexW3121587247MaRDI QIDQ928142

Mario Alessandro Maggi, Dean Fantazzini, Maria Elena De Giuli

Publication date: 11 June 2008

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-007-9112-4

zbMATH Keywords

CopulaBivariate optionFirm valueNo arbitrageStructural models

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38)

Related Items (2)

Default probability estimation via pair copula constructions ⋮ Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry

Cites Work

• The Pricing of Options and Corporate Liabilities
• An introduction to copulas. Properties and applications
• Credit risk: Modelling, valuation and hedging
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