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

2011 ◽  
Author(s):  
Azusa Takeyama ◽  
Nick Constantinou ◽  
Dmitri Vinogradov
Keyword(s):  
Stock Option ◽  
Probability Of Default ◽  
Option Prices

NONSIMULTANEOUS STOCK/OPTION PRICES: IMPLICATIONS FOR RESEARCH

1982 ◽  
Vol 17 (2) ◽  
pp. 67-67
Author(s):  
Walter L. Eckardt ◽  
Bruce D. Bagamery
Keyword(s):  
Stock Option ◽  
Option Prices

scholarly journals SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS

2016 ◽  
Vol 11 (01) ◽  
pp. 1650004 ◽  
Author(s):  
LIN-YEE HIN ◽  
NIKOLAI DOKUCHAEV
Keyword(s):  
Implied Volatility ◽  
Yield Curve ◽  
Stock Option ◽  
Model Parameters ◽  
Option Prices ◽  
Cross Sectional ◽  
Federal Funds Rate ◽  
Market Participants ◽  
The Future ◽  
Rate Processes

In this paper, we propose a strategy to extract the information on the market participants’ expectation of the future short rate from the cross-sectional zero coupon bond prices. In line with the current market practice of building different yield curves for different tenors, we construct multiple one-factor short rate processes to pin down the salient features of the yield curve at different tenors. We represent this information in the form of the Cox–Ingersoll–Ross model implied parameters, and show that this information can be used to forecast the future short rate. This approach of representing the information on the market participants’ consensus in the form of implied model parameters and using these implied parameters for forecasting purposes resembles the approach of representing the market expectation of the underlying asset volatility reflected by stock option prices in the form of implied volatility, and using it to forecast the realized volatility. We illustrate the implementation of this method using historical US STRIPS prices and effective Federal Funds rate.

Skewness and Stock Option Prices

1997 ◽  
Vol 1 (3) ◽  
pp. 50-58 ◽  
Author(s):  
Hans U. Gerber ◽  
Bruno Landry
Keyword(s):  
Stock Option ◽  
Option Prices

“Skewness and Stock Option Prices”, Hans Gerber and Bruno Landry, July 1997

1998 ◽  
Vol 2 (2) ◽  
pp. 114-116
Author(s):  
Kenneth O. Kortanek ◽  
V. G. Medvedev
Keyword(s):  
Stock Option ◽  
Option Prices
Sign in / Sign up

Export Citation Format

Share Document