Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Dat,Used

Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Dat,Used

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SKU: DADAX3319459694
Brand: Springer
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This book introduces the strike of default (SOD) benchmark concept. The author determines the SOD through crosssectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a timedepending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchangelisted company, where option and CDS market data are available.

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