Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9844
Title: Alternative bankruptcy prediction models using option-pricing theory
Authors: Charitou, Andreas 
Dionysiou, Dionysia 
Lambertides, Neophytos 
Trigeorgis, Lenos 
metadata.dc.contributor.other: Λαμπερτίδης, Νεόφυτος
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Bankruptcy prediction;Option-pricing theory;Volatility estimation
Issue Date: Jul-2013
Source: Journal of Banking and Finance, 2013, vol. 37, no. 7, pp. 2329-2341
Volume: 37
Issue: 7
Start page: 2329
End page: 2341
Journal: Journal of Banking & Finance 
Abstract: 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 volatility directly from market-observable returns on firm value. We show that parsimonious models using our direct market-observable volatility estimate perform better than alternative, more sophisticated, models. Our findings suggest the adoption of simpler modelling approaches relying on market data when implementing the BSM model.
URI: https://hdl.handle.net/20.500.14279/9844
ISSN: 03784266
DOI: 10.1016/j.jbankfin.2013.01.020
Rights: © Elsevier
Type: Article
Affiliation : University of Cyprus 
University of Stirling 
Cyprus University of Technology 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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