The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy:
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage,...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2008
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Schriftenreihe: | IMF Working Papers
Working Paper No. 08/194 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment |
Beschreibung: | 1 Online-Ressource (29 p) |
ISBN: | 1451870523 9781451870527 |
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spelling | Capuano, Christian Verfasser aut The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy Capuano, Christian Washington, D.C International Monetary Fund 2008 1 Online-Ressource (29 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 08/194 We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment Online-Ausg http://elibrary.imf.org/view/IMF001/09477-9781451870527/09477-9781451870527/09477-9781451870527.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Capuano, Christian The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy |
title | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy |
title_auth | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy |
title_exact_search | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy |
title_exact_search_txtP | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy |
title_full | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy Capuano, Christian |
title_fullStr | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy Capuano, Christian |
title_full_unstemmed | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy Capuano, Christian |
title_short | The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy |
title_sort | the option ipod the probability of default implied by option prices basedon entropy |
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