The Option-iPoD - The Probability of Default Implied by Option Prices Based on Entropy

SSRN Electronic Journal ◽

10.2139/ssrn.1339927 ◽

2009 ◽

Author(s):

Christian Capuano

Keyword(s):

Probability Of Default ◽

Option Prices

Get full-text (via PubEx)

The Option-iPoD: The Probability of Default Implied by Option Prices Based on Entropy

SSRN Electronic Journal ◽

10.2139/ssrn.1266527 ◽

2008 ◽

Author(s):

Christian Capuano

Keyword(s):

Probability Of Default ◽

Option Prices

Get full-text (via PubEx)

The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy

IMF Working Papers ◽

10.5089/9781451870527.001 ◽

2008 ◽

Vol 08 (194) ◽

pp. 1 ◽

Cited By ~ 25

Author(s):

Christian Capuano ◽

Keyword(s):

Probability Of Default ◽

Option Prices

Get full-text (via PubEx)

A Framework for Extracting the Probability of Default from Listed Stock Option Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1964413 ◽

2011 ◽

Author(s):

Azusa Takeyama ◽

Nick Constantinou ◽

Dmitri Vinogradov

Keyword(s):

Stock Option ◽

Probability Of Default ◽

Option Prices

Get full-text (via PubEx)

A Simple Method for Extracting the Probability of Default from American Put Option Prices

SSRN Electronic Journal ◽

10.2139/ssrn.3524525 ◽

2020 ◽

Author(s):

Bo Young Chang ◽

Greg Orosi

Keyword(s):

Probability Of Default ◽

Option Prices ◽

Simple Method ◽

American Put Option ◽

Put Option ◽

American Put

Get full-text (via PubEx)

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

Journal of Futures Markets ◽

10.1002/fut.22146 ◽

2020 ◽

Vol 40 (10) ◽

pp. 1535-1547

Author(s):

Bo Young Chang ◽

Greg Orosi

Keyword(s):

Probability Of Default ◽

Option Prices ◽

Simple Method ◽

American Put Option ◽

Put Option ◽

American Put

Get full-text (via PubEx)

Comment in response to “A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems” by M. Carlehed and A. Petrov

The Journal of Risk Model Validation ◽

10.21314/jrmv.2013.110 ◽

2013 ◽

Vol 7 (4) ◽

pp. 73-78

Author(s):

Lawrence Forest ◽

Gaurav Chawla ◽

Scott Aguais

Keyword(s):

Risk Classification ◽

Classification Systems ◽

Probability Of Default

Get full-text (via PubEx)

A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems

The Journal of Risk Model Validation ◽

10.21314/jrmv.2012.091 ◽

2012 ◽

Vol 6 (3) ◽

pp. 3-25 ◽

Cited By ~ 8

Author(s):

Magnus Carlehed ◽

Alexander Petrov

Keyword(s):

Risk Classification ◽

Classification Systems ◽

Probability Of Default

Get full-text (via PubEx)

Estimating the tail shape parameter from option prices

The Journal of Risk ◽

10.21314/jor.2017.366 ◽

2017 ◽

Vol 19 (6) ◽

pp. 85-110 ◽

Cited By ~ 2

Author(s):

Kam Hamidieh

Keyword(s):

Shape Parameter ◽

Option Prices ◽

Tail Shape

Get full-text (via PubEx)

Exercise boundaries and efficient approximations to American option prices and hedge parameters

The Journal of Computational Finance ◽

10.21314/jcf.2001.063 ◽

2001 ◽

Vol 4 (4) ◽

pp. 4-4 ◽

Cited By ~ 19

Author(s):

Farid AitSahlia ◽

Tze Leung Lai

Keyword(s):

American Option ◽

Option Prices

Get full-text (via PubEx)

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

The Journal of Credit Risk ◽

10.21314/jcr.2013.161 ◽

2013 ◽

Vol 9 (2) ◽

pp. 68-81

Author(s):

Rafael Rodrigues Troiani

Keyword(s):

Credit Card ◽

Gaussian Model ◽

Probability Of Default ◽

Inverse Gaussian

Get full-text (via PubEx)