A simple method for extracting the probability of default from American put option prices

Saved in:

Authors and Corporations:

Chang, Bo Young (Author), Orosi, Greg (Author)

Other Authors:

Orosi, Greg [Author]

Edition:

Last updated: April 20, 2020

Type of Resource:

E-Book

Language:

English

published:

[Ottawa] Bank of Canada [2020]

Series:

Subjects:

Asset pricing

Financial markets

Market structure and pricing

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Parent items:
Bank of Canada: Staff working paper