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dc.contributor.authorLeduc, Guillaume
dc.contributor.authorOrosi, Gergely
dc.date.accessioned2020-06-02T09:03:56Z
dc.date.available2020-06-02T09:03:56Z
dc.date.issued2016
dc.identifier.citationLeduc, 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.issn1756-7149
dc.identifier.urihttp://hdl.handle.net/11073/16664
dc.description.abstractRisk 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.isoen_USen_US
dc.publisherInderscience Publishersen_US
dc.relation.urihttps://doi.org/10.1504/IJFMD.2016.081704en_US
dc.titleA robust method to retrieve option implied risk neutral densities for defaultable assetsen_US
dc.typePeer-Revieweden_US
dc.typeArticleen_US
dc.typePublished versionen_US
dc.identifier.doi10.1504/IJFMD.2016.081704


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