Internformat: The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy

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,...

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1. Verfasser:	Capuano, Christian (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2008
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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