Browsing by Subject "Option-pricing theory"

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    • Article  

      Alternative bankruptcy prediction models using option-pricing theory 

      Charitou, Andreas; Dionysiou, Dionysia; Lambertides, Neophytos; Trigeorgis, Lenos (2013)
      We examine the empirical properties of the theoretical Black-Scholes-Merton (BSM) bankruptcy model. We evaluate the predictive ability of various existing modifications of the BSM model and extend prior studies by estimating ...