Using equity options to imply credit information

DOI10.1007/S10479-009-0627-ZMaRDI QIDQ635970zbMATH OpenOpenAlexFDO

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

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 48933 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• 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.

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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