Pricing and liquidity of complex and structured derivatives : deviation of a risk benchmark basd on credit and option market data / Mathias Schmidt.
Schmidt, Mathias, author.
2016
HG6024.A3 S36 2016
Available Online

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Title Pricing and liquidity of complex and structured derivatives : deviation of a risk benchmark basd on credit and option market data / Mathias Schmidt.
Author Schmidt, Mathias, author.
ISBN 9783319459707 (electronic book)
3319459708 (electronic book)
9783319459691
3319459694
DOI https://doi.org/10.1007/978-3-319-45970-7
Published Cham, Switzerland : Springer, 2016.
Language English
Description 1 online resource (125 pages).
Item Number 10.1007/978-3-319-45970-7 doi
Call Number HG6024.A3 S36 2016
Dewey Decimal Classification 332.645
Summary 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.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Digital File Characteristics text file PDF
Source of Description Online resource; title from PDF title page (viewed December 1, 2016).
Series SpringerBriefs in finance.
Available in Other Form Print version: 9783319459691
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Record Appears in Online Resources > Ebooks
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Introduction
Different Approaches on CDS Valuation
an Empirical Study
Credit Default Swaps from an Equity Option View
Strike of Default: Sensitivity and Times Series Analysis
Conclusion.

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