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Problem 4 . ( 2 5 p ) ( Default probability in Merton's model ) In Merton's model, assume that the growth rate of assets

Problem 4.(25p)(Default probability in Merton's model)
In Merton's model, assume that the growth rate of assets V is positive and that the initial asset value V0 exceeds the liability B. Show that the probability of default at the horizon date T is an increasing function of the volatility V.
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