risk pricing theories have a significant impact on the observed levels of credit default prices. We also provide an … pricing credit risk overall. Furthermore, and contrarily to previous results, equity market information seems to matter for …

in the U.S. Treasury market by comparing the option-implied state-price density (SPD) of bond prices shortly before and …

that the co-terminal approach is the simplest and most convenient market model for pricing and hedging a large variety of …

drives pricing differences that can be explained by the CTD option. …, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the … pricing differences. Using the European transaction data from Reuters and Bloomberg, we estimate a liquidity premium that is …

We develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time the sale …

, leading to a significant erosion of the value of the option to wait and to investment near the zero net present value …

pricing framework : a jump process driven by a latent geometric Brownian motion and a marked Poisson process. We establish the …We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur … IBM, France Telecom and CAC 40 intraday transaction data, and compare option prices given by the marked Poisson model, the …