In the Merton model, why do we obtain very low short-term spreads?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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In the Merton model, why do we obtain very low short-term spreads?

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First recall that in the Merton 1974 model default occurs at maturity if the firm value ends up lowe...View the full answer

Derivatives Principles And Practice

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