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A Merton Model of Credit Risk with Jumps |
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PP: 97-103 |
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Author(s) |
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Hoang Thi Phuong Thao,
Vuong Quan Hoang,
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Abstract |
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| In this note we consider a Merton model for default risk, where the firm’s value is driven by a Brownian motion and a
compound Poisson process. |
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