Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif et Tarek Fakhfakh
The structural model of Merton (1974) gives rise to multiple applications
and extensions in corporate credit-risk analysis. The estimation of this
fram...
We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation is ...