Category:Accounting and Finance
Table Of Contents: Volume 7 Issue 4
The aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market.
To propose a new methodology to infer the risk‐neutral default probability curve of a generic firm XYZ from equity options prices.
To implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of…
The purpose of this paper is to focus on international acquisitions that took place in the insurance sector by US‐based firms in the years 1997‐2003 and their impact on…
To study stochastic volatility in the pricing of options.
Online date, start – end:1999
Copyright Holder:Emerald Publishing Limited
Merged from:Balance Sheet
- Prof Bonnie Buchanan