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Dokumenttyp:
Buchbeitrag 
Autor(en):
Escobar, M.; Götz, B.; Zagst, R. 
Kooperation:
international 
Titel:
Pricing Certificates under Issuer Risk 
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...    »
 
Seitenangaben Beitrag:
123-146 
Herausgeber:
Kiesel, R.; Scherer, M.; Zagst, R. 
Buchtitel:
Alternative Assets and Strategies 
Intellectual Contribution:
Contribution to Practice 
Verlag / Institution:
World Scientific, Singapore 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook