Using equity options to imply credit information (Q635970): Difference between revisions
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| Property / cites work: Pricing defaultable bonds: a middle-way approach between structural and reduced-form models / rank | |||
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| Property / cites work: Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. / rank | |||
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| Property / cites work: Q3997769 / rank | |||
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Latest revision as of 09:42, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using equity options to imply credit information |
scientific article |
Statements
Using equity options to imply credit information (English)
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25 August 2011
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credit spreads
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implied volatility
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Merton's model
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liquidity
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first-passage
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default probability
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