Pricing and Liquidity of Complex and Structured Derivatives Deviation of a Risk Benchmark Based on Credit and Option Market Data /

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 bo...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Schmidt, Mathias (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:SpringerBriefs in Finance,
Temas:
Financial services industry.
Business enterprises-Finance.
Financial engineering.
Capital market.
Financial Services.
Corporate Finance.
Financial Engineering.
Capital Markets.
Acceso en línea:Texto Completo
Descripción
Sumario: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.
Descripción Física:XVII, 114 p. 32 illus., 16 illus. in color. online resource.
ISBN:9783319459707
ISSN:2193-1739

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