A simple method for extracting the probability of default from American put option prices-Reference-Cited by-同舟云学术

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A simple method for extracting the probability of default from American put option prices

Published:2020-06-19 Issue:10 Volume:40 Page:1535-1547
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Chang Bo Young¹^ORCID,Orosi Greg²^ORCID

Affiliation:

1. Bank of Canada234 Wellington Street Ottawa Ontario Canada

2. Department of Mathematics and StatisticsAmerican University of SharjahSharjah UAE

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22146

Reference10 articles.

1. Bohn J. Arora N. &Korablev I.(2005).Power and level validation of the EDF credit measure in the US market. Moody's KMV White Paper.

2. A comparative study of the probability of default for global financial firms

3. Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

4. A Simple Robust Link Between American Puts and Credit Protection

5. Equity Option Implied Probability of Default and Equity Recovery Rate

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Leveraging prices from credit and equity option markets for portfolio risk management;Journal of Futures Markets;2023-10-12

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