Use of orthogonal arrays and design of experiment via Taguchi L9 method in probability of default
The Taguchi’s orthogonal array is based on a mathematical model of factorial designs. This paper investigates the effects of four parameters in Probability of Default (PD) using Black-Scholes model (BSM) for call option at one period by considering asset value V, firm’s debt X, expected growth r and...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2018-01-01
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| Series: | Accounting |
| Subjects: | |
| Online Access: | http://www.growingscience.com/ac/Vol4/ac_2017_16.pdf |