Pricing and Liquidity of Complex and Structured Derivatives Deviation of a Risk Benchmark Based on Credit and Option Market Data /

• Κύριος συγγραφέας: Schmidt, Mathias (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Σειρά: SpringerBriefs in Finance,
• Θέματα: Finance.; Business enterprises > Finance.; Banks and banking.; Capital market.; Financial engineering.; Banking.; Business Finance.; Financial Engineering.; Capital Markets.
• Φυσική περιγραφή: XVII, 114 p. 32 illus., 16 illus. in color. online resource.
• ISBN: 9783319459707
• ISSN: 2193-1720

This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional 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 time-depending 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 exchange-listed company, where option and CDS market data are available.