Are credit spreads too low or too high?
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William Lin; David Sun
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Article
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2009
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John Wiley and Sons
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English
β 304 KB
## Abstract Based on the works of Brockman, P. and Turtle, H. J. (2003) and Giesecke, K. (2004), we propose in this study a hybrid barrier option model to explain observed credit spreads. It is free of problems with the structural model, which underprescribed credit spreads for investment grade cor