Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option

DOI10.1007/s11147-014-9106-zzbMath1315.91074OpenAlexW1997070821MaRDI QIDQ2353849

David Rudolph, Stefan Stöckl, Andreas W. Rathgeber

Publication date: 9 July 2015

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-014-9106-z

zbMATH Keywords

efficient market hypothesiscredit spreadsterm structure of interest rateforeign currency government bondsimplied default probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

• Robust tests for heteroskedasticity in the one-way error components model
• Testing panel data regression models with spatial error correlation.
• Serial Correlation and the Fixed Effects Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression

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