A robust method to retrieve option implied risk neutral densities for defaultable assets
Guillaume Leduce, Greg Orosi
| Year of publication: |
2016
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|---|---|
| Authors: | Leduc, Guillaume ; Orosi, Greg |
| Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 5.2016, 2/4, p. 212-224
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| Subject: | risk neutral density | probability of default | call options | bankruptcy | Insolvenz | Insolvency | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Optionsgeschäft | Option trading | Kreditrisiko | Credit risk | Derivat | Derivative | Risikoneutralität | Risk neutrality |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011742316