Using equity options to imply credit information (Q635970)
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scientific article; zbMATH DE number 5942437
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using equity options to imply credit information |
scientific article; zbMATH DE number 5942437 |
Statements
Using equity options to imply credit information (English)
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25 August 2011
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credit spreads
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implied volatility
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Merton's model
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liquidity
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first-passage
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default probability
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