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Book Cover
Author Capuano, Christian, 1975- author

Title The Option-iPoD : the probability of default implied by option prices based on entropy / prepared by Christian Capuano
Published Washington, D.C. : International Monetary Fund, [2008]
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Description 1 online resource (29 pages) : color illustrations
Series IMF working paper ; WP/08/194
IMF working paper ; WP/08/194
Summary 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, and on the Greek letters (delta, gamma, and vega). We show how to extend the framework by using information from the price of zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment
Bibliography Includes bibliographical references (pages 23-24)
Notes Print version record
Subject Default (Finance) -- Econometric models.
Options (Finance) -- Prices -- Econometric models.
Form Electronic book
Author International Monetary Fund. Monetary and Capital Markets Department.
ISBN 1451915055