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updated 1 year ago

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, merton, structural credit mod...)

calcMertonModel(E_t,sig_E,K,t,T,r)

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updated 2 years ago

Fixed Grid and Stochastic Grid Monte Carlo Sampling by Kienitz Wetterau FinModelling

We cover two methods for sampling from Jump Diffusion Models (merton model, fgs, sgs)

MC_merton_fgs(S,r,sigma,T, ...

MC_merton_sgs(S,r,sigma,T, a,b,lambda,NSim)

MertonPrice(Spot,Strike,sigma,r,T,a,b,lambda,n_max)

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