2 citations · 5 across the 14 of their papers we have counts for
6 papers · 1 filter
Merton's Default Risk Model for Private Company
Battulga Gankhuu
Because the asset value of a private company does not observable except in quarterly reports, the structural model has not been developed for a private company. For this reason, th…
The Log Private Company Valuation Model
Battulga Gankhuu
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of…
Augmented Dynamic Gordon Growth Model
Battulga Gankhuu
In this paper, we introduce a dynamic Gordon growth model, which is augmented by a time--varying spot interest rate and the Gordon growth model for dividends. Using the risk--neutr…
Rainbow Options under Bayesian MS-VAR Process
Battulga Gankhuu
This paper presents pricing and hedging methods for rainbow options and lookback options under Bayesian Markov-Switching Vector Autoregressive (MS--VAR) process. Here we assumed th…
Equity-Linked Life Insurances on Maximum of Several Assets
Battulga Gankhuu
Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity…
Options Pricing under Bayesian MS-VAR Process
Battulga Gankhuu
In this paper, we have studied option pricing methods that are based on a Bayesian Markov-Switching Vector Autoregressive (MS-BVAR) process using a risk-neutral valuation approach.…