We explore the pricing of compound derivatives under the newly introduced conjugate-
power Dagum distribution. Assuming a discrete-time multiplicative conjugate-power Dagum …

This chapter presents a structural model à la Leland (1994) that is, at the same time, novel,
simple, and able to explain the quotes of credit default swaps (CDS), equity, and equity …

The aim of this paper is to extract credit-risk sensitive information from the quotes of equity
options and CDSs. In particular, we wish to estimate the firm's leverage, as it is perceived by …

This thesis investigates the use of asymptotic techniques and stochastic volatility models in
option pricing problems. For the Heston stochastic volatility model, a fast mean reverting …

Equity Options and Bond Options in Leland Model Page 1 EQUITY OPTIONS AND BOND
OPTIONS IN THE LELAND MODEL Gaia Barone (*) (“Tor Vergata” University of Rome) …

In this paper, we calibrate a perpetual-debt structural model (PDSM) by using Moody's
historical credit ratings. In the PDSM, stocks are equivalent to a portfolio that contains a …

The classic estimates of CAPM equity betas are notoriously unstable. We assume that this is
mainly due to changes of firm's leverage over time. In order to take leverage into account, we …

In this paper, we outline the general lines of a structural model that is based on the Leland
model (1994), but differs from its assumptions about the tax regime. In the revised model …