This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
- ISBN13 9783319459691
- Publish Date 30 September 2016
- Publish Status Active
- Publish Country CH
- Imprint Springer International Publishing AG
- Edition 1st ed. 2016
- Format Paperback
- Pages 114
- Language English