The Option-iPoD : the probability of default implied by option prices based on entropy / prepared by Christian Capuano.
Saved in:
| Online Access: |
Full Text (via ProQuest) |
|---|---|
| Main Author: | |
| Corporate Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
©2008.
©2008. |
| Series: | IMF working paper ;
WP/08/194. |
| Subjects: |
| 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 zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment. |
|---|---|
| Physical Description: | 1 online resource (29 pages) : color illustrations. |
| Bibliography: | Includes bibliographical references (pages 23-24) |
| ISBN: | 1451915055 9781451915051 9781451991321 1451991320 9781451870527 1451870523 |
| Source of Description, Etc. Note: | Source of description: Print version record. |