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Titel:

Pricing Certificates under Issuer Risk

Dokumenttyp:
Buchbeitrag
Autor(en):
Escobar, M.; Götz, B.; Zagst, R.
Kooperation:
international
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
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