dc.contributor.author | Leduc, Guillaume | |
dc.contributor.author | Orosi, Gergely | |
dc.date.accessioned | 2020-06-02T09:03:56Z | |
dc.date.available | 2020-06-02T09:03:56Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Leduc, Guillaume, and Gergely Orosi. "A Robust Method to Retrieve Option Implied Risk Neutral Densities for Defaultable Assets." International Journal of Financial Markets and Derivatives 5, no. 2/3/4 (2016): 212-224. doi: 10.1504/IJFMD.2016.081704. | en_US |
dc.identifier.issn | 1756-7149 | |
dc.identifier.uri | http://hdl.handle.net/11073/16664 | |
dc.description.abstract | Risk neutral densities recovered from option prices can be used to infer market participants' expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature on the subject, most studies do not address the likelihood of default. To fill this gap, in this paper we develop a novel method to retrieve the risk neutral probability density function from call options written on a defaultable asset. The primary advantage of the method is that default probabilities inferred by the model can be analytically expressed and, if available, can be incorporated as an input in a flexible, robust and easily implementable manner. | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | Inderscience Publishers | en_US |
dc.relation.uri | https://doi.org/10.1504/IJFMD.2016.081704 | en_US |
dc.title | A robust method to retrieve option implied risk neutral densities for defaultable assets | en_US |
dc.type | Peer-Reviewed | en_US |
dc.type | Article | en_US |
dc.type | Published version | en_US |
dc.identifier.doi | 10.1504/IJFMD.2016.081704 | |