Updating the option implied probability of default methodology
Year of publication: |
March 2016
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Authors: | Vilsmeier, Johannes |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 3, p. 1-27
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Subject: | probability of default | risk neutral density | options | cross entropy | financial risk | credit risk | Entropie | Entropy | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Insolvenz | Insolvency | Risikomaß | Risk measure | Aktienoption | Stock option | Bankinsolvenz | Bank failure | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk |
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