A Structural Model with Unobserved Default Boundary

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Journal Article
Applied Mathematical Finance, 2008, 15 (2), pp. 183 - 203
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A firm-value model similar to the one proposed by Black and Cox (1976) is considered. Instead of assuming a constant and known default boundary, the default boundary is an unobserved stochastic process. Interestingly, this setup admits a default intensity, so the reduced form methodology can be applied.
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