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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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Capuano, Christian, 1975- (Author)
Corporate Author: International Monetary Fund. Monetary and Capital Markets Department
Format: Electronic eBook
Language:Inglés
Published: Washington, D.C. : International Monetary Fund, ©2008.
©2008
Series:IMF working paper ; WP/08/194.
Subjects:
Default (Finance) > Econometric models.
Options (Finance) > Prices > Econometric models.
Défaillance (Finances) > Modèles économétriques.
Options (Finances) > Prix > Modèles économétriques.
Default (Finance) > Econometric models
Options (Finance) > Prices > Econometric models
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