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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-223269
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.22326
Alternative Links zum Volltext:Repec
Zusammenfassung
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD has some serious ...
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