<t>I think I figured it out - and just throw it out for whatit is worth.first, please excuse my notation - in original post itwould have been more clear if i had used V - for thefirm asset process, instead of S as the basic mertonstructural credit risk model calibrates firm value basedon observered ...

<t>i have been working with using maximum likelihood to estimatethe parameters of the unobserved asset process for structural risk models (no problem wit this). as part of this, i would also like to investigate the asymptotic distributions of point estimates such as asset price and credit spread whi...

Hello,If anyone has access to the following publication: Kassam, A. (2003). "The Links Between Equity Volatility and Credit Spread.", Goldman Sachs.and can post to this forum (or e-mail to dkf at specere dot com), I would appreciateit greatly.regards,--dan

<t>I would like to see if there is any discrepancies in the barrier extractedfrom option (market) prices and balance sheet data. I am dealing with stock markets without associated equity options markets.My understanding was the hyperbolic models (such as NIG, VG, etc.)provide better estimates of opt...

<t>the stock price distributions i am dealing with are far from meeting lognormal returns assumptions. there is no equity options market either. what i wouldlike to do is only use the NIG model (characterized to the stock process) forgenerating realistic equity option prices. From these generated op...

<r>Hi,The default model reverts back to the Merton model as you say. HNW (as is my understandingto this point) is a framework for calibrating the Merton model from implied volatility, instead of directly from balance sheet data. i.e., HNW just calibrates the Merton model from another source.In the e...

<t>Hello,I am interested in calibration of the Hull, Nelken, and White (HNW) model, "Merton's MOdel, Credit Risk, and Volatility Skews", 2004 for evaluatingcredit spreads. Given that one use of option pricing models, such as NIG, IG, VG,Meixner, etc, based on non-normal distributions is for using in...

<t>Hello,Here is my answer to my problem. Change: intg2 <- integrate(nigpdf, iblower, ibupper)$value .... intg2 <- integrate(nigpdf, iblower, ibupper)$valueTo: intg2 <- integrate(nigpdf, iblower, ibupper, alpha=alpha, beta=beta, delta=delta, mu=0)$value .... intg2 <- integrate(nigpdf, iblower, ibupp...

<t>Hello,I have been using the NIG-functions in the R-languagetrying to determine some european call prices using a NIGdistribution, but seemed to have hit a wall. I came acrossthe some previous threads that touched on this topic here,but didn't addresses this particular case.Basically, the process ...

apologize for following up an old thread, but did someone have an electronic version of thispaper (or something equivalent)? Rich: "The mathematical foundations of barrier option-pricing theory"Regards,--Dan

hi,you wouldn't mind posting the "answer" would you? i got the same thing - justtaking me more than two minutes....regards,--dan