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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,...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
©2008.
©2008 |
| Colección: | IMF working paper ;
WP/08/194. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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, and on the Greek letters (delta, gamma, and vega). We show how to extend the framework by using information from the price of zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment. |
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| Descripción Física: | 1 online resource (29 pages) : color illustrations |
| Bibliografía: | Includes bibliographical references (pages 23-24). |
| ISBN: | 1451915055 9781451915051 9781451991321 1451991320 9781451870527 1451870523 |