Using equity options to imply credit information
type: Item
instance of: scholarly article
title: Using equity options to imply credit information
zbMATH Open document ID: 1219.91151
author: Angie Elkhodiry
author: Joseph C. Paradi
author: L. Seco
published in: Annals of Operations Research
publication date: 2011-08-25T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5942437
zbMATH Keywords: credit spreads
zbMATH Keywords: implied volatility
zbMATH Keywords: Merton's model
zbMATH Keywords: liquidity
zbMATH Keywords: first-passage
zbMATH Keywords: default probability
MaRDI profile type: Publication
full work available at URL: s10479-009-0627-z
OpenAlex ID: W2011330105
cites work: Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
cites work: Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
cites work: Q3997769
cites work: Q4905685
DOI: 10.1007/S10479-009-0627-Z
description: scientific article; zbMATH DE number 5942437