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Keywords: First-passage time
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (1): 113–142.
Published: 31 May 2002
...) and first passage time model of Black and Cox (1976). The model of Black and Cox is used for estimating the value of the firm and the volatility of the firm value which are unobservable variables. We find that the impact of default correlations on the prices of collateralized bond obligations is generally...
