The Option-iPoD : the probability of default implied by option prices based on entropy /
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,...
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| Format: | Book |
| Language: | English |
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Washington, D.C. :
International Monetary Fund,
c2008
Washington, D.C. : ©2008 [Washington, District of Columbia] : 2008 |
| Series: | IMF working paper ;
WP/08/194 IMF working paper ; WP/08/194 |
| Subjects: |
Internet
This item is not available through BorrowDirect. Please contact your institution’s interlibrary loan office for further assistance.Yale University
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None |
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Massachusetts Institute of Technology
| Call Number: |
HG3810.I45 no.WP/08/194 |
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