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Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data by Mathias Schmidt (Paperback, 2016)

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About this product

Product Information

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.

Product Identifiers

Publisher
Springer International Publishing Ag
ISBN-13
9783319459691
eBay Product ID (ePID)
227411530

Product Key Features

Author
Mathias Schmidt
Publication Name
Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data
Format
Paperback
Language
English
Subject
Finance
Publication Year
2016
Type
Textbook
Number of Pages
114 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Item Weight
2117g

Additional Product Features

Title_Author
Mathias Schmidt
Series Title
Springerbriefs in Finance
Country/Region of Manufacture
Switzerland

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