Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/73447 
Autor:innen: 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
BGPE Discussion Paper No. 107
Verlag: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Bavarian Graduate Program in Economics (BGPE), Nürnberg
Zusammenfassung: 
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD has some serious drawbacks and hence an alternative procedure is suggested that is based on the Lagrange multipliers. Carrying out numerical evaluations and a practical application we find that the framework provides very promising results.
Schlagwörter: 
Option Implied Probability of Default
Risk Neutral Density
Cross Entropy
JEL: 
C51
C52
C61
G12
G24
G32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
677.19 kB





Publikationen in EconStor sind urheberrechtlich geschützt.