Arianna Agosto

University of Bologna - Department of Statistics

Bologna, 40126

Italy

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Scholarly Papers (1)

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Exploiting Default Probabilities in a Structural Model with Nonconstant Barrier

Applied Financial Economics, Vol. 22, No. 8, 2012
Number of pages: 26 Posted: 31 Jan 2014
Arianna Agosto and Enrico Moretto
University of Bologna - Department of Statistics and Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
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Abstract:

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default structural models, default implied probability, nonconstant barrier options, KMV model