Téléchargez le livre : Pricing and Liquidity of Complex and Structured Derivatives

Pricing and Liquidity of Complex and Structured Derivatives

Deviation of a Risk Benchmark Based on Credit and Option Market Data de

Éditeur :

Springer


Collection :

SpringerBriefs in Finance

Paru le : 2016-10-31

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Description
This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
Pages
114 pages
Collection
SpringerBriefs in Finance
Parution
2016-10-31
Marque
Springer
EAN papier
9783319459691
EAN PDF
9783319459707
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
11
Taille du fichier
2150 Ko
Prix
52,74 €
EAN EPUB
9783319459707
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
11
Taille du fichier
1044 Ko
Prix
52,74 €

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