Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 15 of 15 for “"Merton Model"”.
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Structural credit risk modeling using Merton model and its default probability: A case study of commercial banks in Namibia
… the credit risk position in the light of the Merton Structural credit Risk Model. The financial statements of these banks are analysed, specifically the balance sheets and statements of income, to extract relevant information for the computation of various ratios. The ratios examined include …
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Stock Option Valuation for Thinly Traded Enterprises: Comparing the Historically Based Intrinsic Value Model to the Black-Scholes-Merton Model
… options, most accountants use the Black-Scholes-Merton (BSM) option pricing model because of its simplicity. While evidence suggests that the model is effective for larger entities with regularly traded stocks, the BSM model becomes less effective when a stock's price is highly volatile or …
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Corporate Bonds and Equities: A Comparison of Returns
… on the pricing of corporate debt was by Robert Merton (Merton 1974). The Merton model represented corporate debt as the combination of a risk-free asset and a short position in a put option on the assets of the firm. Equity was represented as a long call option on the assets of the firm. Since …
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The optimal valuation of Black Economic Empowerment transactions in South Africa
… and valuations performed using the Black-Scholes-Merton Model. Various amendments to each of these methods are introduced in order to correct for pricing biases inherent in each valuation model.
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
… in China, this research applies three types of models: accounting-based Altman models, the Merton distance-to-default (DD) model, and the default hazard model. Our findings confirm the robustness of three original Altman models in predicting Chinese corporate bond defaults within a one-year …
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Essays on corporate bonds
… first chapter, I test the ability of structural models of default to price corporate bonds in the cross-section. I find that the Black-Cox model can explain 45% of the cross-sectional variation in yield spreads. The unexplained portion is correlated with proxies for credit risk and thus, cannot …
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Stock Option Valuations and Constraint Enforcement Using Neural Networks
… solutions like the infamous Black-Scholes-Merton model, as well as in real-world settings. The collective conclusion that is deduced from past literature presents a clear case for their use in finance, albeit that there are some notable pitfalls, like the lack of interpretability and the …
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Model Misspecification and the Hedging of Exotic Options
Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional …
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Three Essays in Empirical Studies on Derivatives
… spreads based on Jarrow’s illiquidity-modified Merton model using the transformed-data maximum likelihood estimation method. I find that the average model implied CDS illiquidity premium is about 15 basis points, accounting for 12% of the average level of the CDS spread. I further investigate …
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Models of Corporate and Bank Default and Credit Migration
This thesis presents three studies on credit risk modelling. The first study compares the real default probabilities produced by three main structural models of default, Merton model, Longstaff and Schwartz model and Leland and Toft model, to the observed real default probabilities reported by …
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Pricing of contingent claims under the real-world measure
… financial quantities. The obtained formulae are model independent, yet reveal important differences between the real-world arid classical risk-neutral approaches. Real-world prices are systematically derived under each of the models studied within this thesis for the following contingent claims: …
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Implied probability distributions : estimation, testing and applications
… for a theoretical equilibrium option pricing model is made and with the use of cross-sections of observed options prices point estimates of the risk-neutral probability densities are obtained. The present study is primarily concerned with the estimation of implied riskneutral densities by …
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Three Essays on Political Risk, Economic Policy Uncertainty, and Hedge Fund Returns
… panel regressions based on the Henriksson and Merton model. Our results are robust to the use of alternative test method, that is, time series analysis. In addition, we discover that 36.8% of the funds in our sample possess the ability to time economic policy changes. Overall, the results show …
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Analytical Solutions of the SABR Stochastic Volatility Model
… studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's …
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Three Essays in Empirical Asset Pricing
The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed …