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The Option-iPoD : the probability of default implied by option prices based on entropy /

We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Capuano, Christian, 1975- (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, ©2008.
©2008
Colección:IMF working paper ; WP/08/194.
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Acceso en línea:Texto completo

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