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Document type:
Buchbeitrag 
Author(s):
Escobar, M.; Götz, B.; Zagst, R. 
Cooperation:
international 
Title:
Pricing Certificates under Issuer Risk 
Pages contribution:
123-146 
Abstract:
Certificates have become very popular in Germany, Austria, and Switzerland in the last few years. From a technical and legal point of view they are bonds. Thus, their value actually also depends on the rating and creditworthiness of the issuing company. This aspect is in general neglected in the pricing of these products. In the following, we present a model which overcomes this lack and incorporates the default risk of the issuing company in the pricing.We derive closed-form expressions for ind...    »
 
Editor:
Kiesel, R.; Scherer, M.; Zagst, R. 
Book title:
Alternative Assets and Strategies 
Intellectual Contribution:
Contribution to Practice 
Publisher:
World Scientific, Singapore 
Year:
2010 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook