FRM: How d2 in Black-Scholes becomes PD in Merton model

Bionic Turtle
Bionic Turtle
65.7 هزار بار بازدید - 16 سال پیش - In Black-Scholes, N(d2) is the
In Black-Scholes, N(d2) is the probability that the option will be struck in the risk-neutral world. The Merton model for credit risk uses the Black-Scholes by treating equity as a call option on firm assets. In Merton, d2 becomes the "distance to default" and N(-d2) becomes the probability of default (PD). For more financial risk videos, visit our website! http://www.bionicturtle.com
16 سال پیش در تاریخ 1387/05/17 منتشر شده است.
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