Pricing And Liquidity Of Complex And Structured Derivatives
Download Pricing And Liquidity Of Complex And Structured Derivatives full books in PDF, epub, and Kindle. Read online free Pricing And Liquidity Of Complex And Structured Derivatives ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Pricing and Liquidity of Complex and Structured Derivatives
Author | : Mathias Schmidt |
Publisher | : Springer |
Total Pages | : 125 |
Release | : 2016-10-31 |
Genre | : Business & Economics |
ISBN | : 3319459708 |
Download Pricing and Liquidity of Complex and Structured Derivatives Book in PDF, Epub and Kindle
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.
Pricing and Liquidity of Complex and Structured Derivatives Related Books
Pages: 125
Pages: 545
Pages: 277
Pages: 873
Pages: 627