Equity option implied probability of default and equity recovery rate
Year of publication: |
June 2017
|
---|---|
Authors: | Chang, Bo Young ; Orosi, Greg |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 37.2017, 6, p. 599-613
|
Subject: | Asset pricing | Financial markets | Market structure and pricing | Finanzmarkt | Financial market | CAPM | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Marktstruktur | Market structure | Aktienoption | Stock option | Kreditrisiko | Credit risk |
-
A simple method for extracting the probability of default from American put option prices
Chang, Bo Young, (2020)
-
Equity option-implied probability of default and equity recovery rate
Chang, Bo Young, (2016)
-
Updating the option implied probability of default methodology
Vilsmeier, Johannes, (2016)
- More ...
-
A simple method for extracting the probability of default from American put option prices
Chang, Bo Young, (2020)
-
A simple method for extracting the probability of default from American put option prices
Chang, Bo Young, (2020)
-
Equity option-implied probability of default and equity recovery rate
Chang, Bo Young, (2016)
- More ...