European Parliament Library

The Option-iPoD, Christian Capuano

Abstract
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment
Language
eng
Literary Form
non fiction
Note
Bibliographic Level Mode of Issuance: Monograph
Physical Description
1 online resource (31 pages), illustrations, tables.
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451991321

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