Using equity options to imply credit information

DOI10.1007/s10479-009-0627-zzbMath1219.91151OpenAlexW2011330105MaRDI QIDQ635970

Angie Elkhodiry, Joseph C. Paradi, Luis A. Seco

Publication date: 25 August 2011

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0627-z

zbMATH Keywords

credit spreadsimplied volatilityfirst-passageliquiditydefault probabilityMerton's model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Option implied ambiguity and its information content: evidence from the subprime crisis, An analytical approximation for single barrier options under stochastic volatility models, Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management

Cites Work

• Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
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