Pricing and Liquidity of Complex and Structured Derivatives
ISBN:
978-3-319-45969-1
Auflage:
1st ed. 2016
Verlag:
Springer International Publishing
Land des Verlags:
Schweiz
Erscheinungsdatum:
30.09.2016
Reihe:
SpringerBriefs in Finance
Format:
Softcover
Seitenanzahl:
114
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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.
Schlagwörter
Biografische Anmerkung
Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation
