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Merton Model.pdf

Harvards_Financial-Scientist.pdf

🔗 Source: rmerton.scripts.mit.edu

📊 Size: 666 KB

📄 Pages: 4 pages

⬇️ Downloads: 132

Summary

Robert Merton, a Nobel laureate and professor of finance at Harvard Business School, developed the option-based model for valuing corporate debt, known as the Merton model, which is gaining renewed interest for valuing credit derivatives. Merton's work built on the Black-Scholes model, and he introduced stochastic integrals to finance, applying them to describe gains from dynamic trading of securities. His model values corporate bonds based on default probability using a form of the Black-Scholes equation, and it has seen a surge in interest among credit analysts due to high-profile defaults and the growth of the credit derivatives market.

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Description

Robert Merton, a Nobel laureate and professor of finance at Harvard Business School, developed the option-based model for valuing corporate debt, known as the...

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File Format: PDF
File Size: 666 KB
Pages: 4
Language: EN
Total Downloads: 132
Last Updated: 2 weeks ago

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