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Pricing and Liquidity of Complex and Structured Derivatives
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Pricing and Liquidity of Complex and Structured Derivatives

Deviation of a Risk Benchmark Based on Credit and Option Market Data
Buch (broschiert)ca. 70.00 CHF
lieferbar in ca. 20-45 Arbeitstagen
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.
September 2016, ca. 114 Seiten, SpringerBriefs in Finance, Englisch
Springer EN
978-3-319-45969-1

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