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Pricing And Liquidity Of Complex And Structured Derivatives Deviation Of A Risk Benchmark Based On Credit And Option Market Data 1st Edition Mathias Schmidt Auth

  • SKU: BELL-5607840
Pricing And Liquidity Of Complex And Structured Derivatives Deviation Of A Risk Benchmark Based On Credit And Option Market Data 1st Edition Mathias Schmidt Auth
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Pricing And Liquidity Of Complex And Structured Derivatives Deviation Of A Risk Benchmark Based On Credit And Option Market Data 1st Edition Mathias Schmidt Auth instant download after payment.

Publisher: Springer International Publishing
File Extension: PDF
File size: 2.08 MB
Pages: 125
Author: Mathias Schmidt (auth.)
ISBN: 9783319459691, 9783319459707, 3319459694, 3319459708
Language: English
Year: 2016
Edition: 1

Product desciption

Pricing And Liquidity Of Complex And Structured Derivatives Deviation Of A Risk Benchmark Based On Credit And Option Market Data 1st Edition Mathias Schmidt Auth by Mathias Schmidt (auth.) 9783319459691, 9783319459707, 3319459694, 3319459708 instant download after payment.

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.

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