Using equity options to imply credit information

DOI10.1007/S10479-009-0627-ZzbMATH Open1219.91151OpenAlexW2011330105MaRDI QIDQ635970FDOQ635970

Authors: Angie Elkhodiry, Joseph C. Paradi, L. Seco 

Publication date: 25 August 2011

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0627-z

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zbMATH Keywords

implied volatilityliquiditydefault probabilityfirst-passagecredit spreadsMerton's model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
• Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
• Title not available (Why is that?)

Cited In (5)

• An analytical approximation for single barrier options under stochastic volatility models
• Volatility information difference between CDS, options, and the cross section of options returns
• Option implied ambiguity and its information content: evidence from the subprime crisis
• Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management
• Extracting implied volatilities from bank bonds

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