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Implied default probabilities and losses given default from option prices

Jennifer Conrad, Robert F. Dittmar and Allaudeen Hameed
Year of publication:
2020
Authors: Conrad, Jennifer S. ; Dittmar, Robert F. ; Hameed, Allaudeen
Subject: contingent pricing | default probabilities | recovery rates | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Wahrscheinlichkeitsrechnung | Probability theory
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