Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces the concept of default triggered by the stock...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2024-11-01
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| Series: | Seonmul yeongu |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2024-0019/full/pdf |
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