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Pricing and Liquidity of Complex and Structured Derivatives - Deviation of a Risk Benchmark Based on Credit and Option Market Data (Paperback, 1st ed. 2016)
Loot Price: R1,910
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Pricing and Liquidity of Complex and Structured Derivatives - Deviation of a Risk Benchmark Based on Credit and Option Market Data (Paperback, 1st ed. 2016)
Series: SpringerBriefs in Finance
Expected to ship within 10 - 15 working days
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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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