Browsing NTNU Open by Author "Drageseth, Eilif"
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A Valuation Method for Credit Default Swaps Using an Extended Version of the Merton Model
Drageseth, Eilif (Master thesis, 2012)This thesis proposes a credit risk model for credit default swap (CDS) valuation. The standard Merton (1974) model is extended to implement a stationary leverage ratio, a stochastic asset drift rate, and a stochastic, mean ...