Pricing and Liquidity of Complex and Structured Derivatives Deviation of a Risk Benchmark Based on Credit and Option Market Data /
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...
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| Format: | Electronic eBook |
| Language: | English |
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Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Series: | SpringerBriefs in Finance,
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| Online Access: | Full Text via HEAL-Link |
