Firm-specific risk-neutral distributions with options and CDS
by Sirio Aramonte, Mohammad R Jahan-Parvar, Samuel Rosen and John W Schindler
| Year of publication: |
2021
|
|---|---|
| Authors: | Aramonte, Sirio ; Jahan-Parvar, Mohammad R. ; Rosen, Samuel ; Schindler, John W. |
| Publisher: |
[Basel] : Bank for International Settlements, Monetary and Economic Department |
| Subject: | risk neutral distributions | investor expectations | CDS spreads | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Risikoprämie | Risk premium | Risiko | Risk | Derivat | Derivative |
freely available
| Extent: | 1 Online-Ressource (circa 68 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / Bank for International Settlements. - Basle, ISSN 1682-7678, ZDB-ID 2467027-3. - Vol. no 921 (January 2021) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483801