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Journal of Statistics Applications & Probability Letters
An International Journal


Volumes > Vol. 2 > No. 2


A Merton Model of Credit Risk with Jumps

PP: 97-103
Hoang Thi Phuong Thao, Vuong Quan Hoang,
In this note we consider a Merton model for default risk, where the firmís value is driven by a Brownian motion and a compound Poisson process.

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