-
Mathias Schmidt (auth.)
Click on cover to enlarge.
Buy This Book
From Amazon.
دانلود کتاب Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data
by Mathias Schmidt (auth.)|
|
عنوان فارسی: قیمت گذاری و نقدشوندگی مشتقات مجتمع و ساختاری: انحراف معیار ریسک بر اساس داده های بازار اعتباری و گزینه |
دانلود کتاب
جزییات کتاب
This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
کتاب های مرتبط
این کتاب رو مطالعه کردید؟ نظر شما چیست؟
برای ارسال نظر، لطفا وارد شوید.
نظر دهید
نظرات (0)
هنوز نظری داده نشده است. شما اولین باشید!
