References

Bibliography of the papers merton implements and validates against.

[BS08]

Sreedhar T. Bharath and Tyler Shumway. Forecasting default with the Merton distance to default model. Review of Financial Studies, 21(3):1339–1369, 2008.

[BC76]

Fischer Black and John C. Cox. Valuing corporate securities: some effects of bond indenture provisions. Journal of Finance, 31(2):351–367, 1976.

[CB03]

Peter Crosbie and Jeffrey Bohn. Modeling default risk. Technical Report, Moody's KMV Company, 2003.

[Dua94]

Jin-Chuan Duan. Maximum likelihood estimation using price data of the derivative contract. Mathematical Finance, 4(2):155–167, 1994.

[Ges77]

Robert Geske. The valuation of corporate liabilities as compound options. Journal of Financial and Quantitative Analysis, 12(4):541–552, 1977.

[Mer74]

Robert C. Merton. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance, 29(2):449–470, 1974.

[VX04]

Maria Vassalou and Yuhang Xing. Default risk in equity returns. Journal of Finance, 59(2):831–868, 2004.