Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Andreas W. Rathgeber, David Rudolph, Stefan Stöckl
| Year of publication: |
July 2015
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|---|---|
| Authors: | Rathgeber, Andreas W. ; Rudolph, David ; Stöckl, Stefan |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 18.2015, 2, p. 107-143
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| Subject: | Credit spreads | Efficient market hypothesis | Foreign currency government bonds | Implied default probabilities | Term structure of interest rate | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Effizienzmarkthypothese | Öffentliche Anleihe | Public bond | Unternehmensanleihe | Corporate bond | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Schätzung | Estimation |