Search Results

First-to-default and second-to-default options in models with various information flows,
Pavel V. Gapeev and Monique Jeanblanc, from London School of Economics and Political Science, LSE Library (2021)
Keywords: successive default times; first-to-default and second-to-default options; geometric Brownian motion; initial and progressive enlargements of filtrations

Default Option Exercise over the Financial Crisis and beyond*,
Xudong An, Yongheng Deng and Stuart Gabriel, in Review of Finance (2021)
Keywords: Mortgage default, Option exercise, Default option beta, Time-varying coefficient hazard model

Strategic loan modification: An options-based response to strategic default,
Sanjiv Das and Ray Meadows, in Journal of Banking & Finance (2013)
Keywords: Strategic default; Foreclosure; Loan modification; Barrier options;

A dark side to options trading? Evidence from corporate default risk,
Haoyi Yang and Shikong Luo, in Review of Quantitative Finance and Accounting (2023)
Keywords: Options trading, Default risk, Penny Pilot Program

Valuation of Asian options with default risk under GARCH models,
Xingchun Wang, in International Review of Economics & Finance (2020)
Keywords: Asian options; Default risk; GARCH Models;

Updating the option implied probability of default methodology,
Johannes Vilsmeier, from Deutsche Bundesbank (2014)
Keywords: Option Implied Probability of Default, Risk Neutral Density, Cross Entropy

A Mellin Transform Approach to the Pricing of Options with Default Risk,
Sun-Yong Choi, Sotheara Veng, Jeong-Hoon Kim and Ji-Hun Yoon, in Computational Economics (2022)
Keywords: Mellin transform, Stochastic elasticity of variance, Option, Default risk

Updating the Option Implied Probability of Default Methodology,
Johannes Vilsmeier, from University of Regensburg, Department of Economics (2011)
Keywords: Option Implied Probability of Default; Risk Neutral Density; Cross Entropy

Analytical valuation of power exchange options with default risk,
Guangli Xu, Xinjian Shao and Xingchun Wang, in Finance Research Letters (2019)
Keywords: Power exchange option; Default risk; Systematic risk; Idiosyncratic risk;

Updating the Option Implied Probability of Default Methodology,
Johannes Vilsmeier, from Bavarian Graduate Program in Economics (BGPE) (2011)
Keywords: Option Implied Probability of Default, Risk Neutral Density, Cross Entropy

A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil,
Claudio Henrique da Silveira Barbedo and Eduardo Facó Lemgruber, in Emerging Markets Review (2009)
Keywords: Default probability Equity market Debt market Option

Pricing basket spread options with default risk under Heston–Nandi GARCH models,
Xingchun Wang and Han Zhang, in The North American Journal of Economics and Finance (2022)
Keywords: Basket spread options; Basket options; GARCH models; Default risk;

Pricing VXX option with default risk and positive volatility skew,
Qunfang Bao, Shenghong Li and Donggeng Gong, in European Journal of Operational Research (2012)
Keywords: Pricing; ETN; VXX options; Positive volatility skew; Jump-to-default;

Pricing of defaultable options with multiscale generalized Heston’s stochastic volatility,
Min-Ku Lee and Jeong-Hoon Kim, in Mathematics and Computers in Simulation (MATCOM) (2018)
Keywords: Default risk; Option pricing; Stochastic volatility; Heston model; Multiscale;

A barrier option framework for rescue package designs and bank default risks,
Chuen-Ping Chang, in Economic Modelling (2014)
Keywords: Barrier options; Rescue packages; Bank interest margin; Default risk;

Arbitrage pricing of defaultable game options with applications to convertible bonds,
Tomasz Bielecki, Stephane Crepey, Monique Jeanblanc and Marek Rutkowski, in Quantitative Finance (2008)
Keywords: Defaultable game options, Convertible securities, Convertible bonds, Semimartingale market,

Real option, debt maturity and equity default swaps under negotiation,
Liu Gan, Pengfei Luo and Zhaojun Yang, in Finance Research Letters (2016)
Keywords: Real options; Equity default swaps; Debt maturity; Negotiation;

Non gaussian returns: which impact on default options retirement plans?,
Stéphane Hamayon, Florence Legros and Pradat Yannick, from HAL (2016)
Keywords: Pension plans,CF-VaR,Default option,Mean reversion,Rearrangement procedure

Are lifecycle funds appropriate as default options in participant-directed retirement plans?,
Anup Basu, En Te Chen and Adam Clements, in Economics Letters (2014)
Keywords: Default option; Lifecycle funds; Retirement wealth; Asset allocation; Prospect theory;

Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence,
Anup Basu and Michael Drew, from University Library of Munich, Germany (2006)
Keywords: defined contribution; default option; asset allocation; retirement wealth; downside risk

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options,
Nicholas Sharp, David Newton and Peter Duck, in The Journal of Real Estate Finance and Economics (2008)
Keywords: Fixed-rate mortgages, Option pricing theory, Perturbation theory, Prepayment, Default,

A multinomial tree model for pricing credit default swap options,
Yi-Ping Chang, Ming-Chin Hung and Yi-Chen Ko, in Computational Statistics (2011)
Keywords: Credit default swap, Option Multinomial tree, Moment matching,

Valuing fade-in options with default risk in Heston–Nandi GARCH models,
Xingchun Wang, in Review of Derivatives Research (2022)
Keywords: Fade-in options, Default risk, GARCH processes, Reduced form models

Valuation of options on the maximum of two prices with default risk under GARCH models,
Xingchun Wang, in The North American Journal of Economics and Finance (2021)
Keywords: Options on the maximum; Stochastic correlation; GARCH models; Default risk;

Valuation of catastrophe equity put options with correlated default risk and jump risk,
Hongwei Bi, Guanying Wang and Xingchun Wang, in Finance Research Letters (2019)
Keywords: Catastrophe equity put options; Markov modulated poisson process; Default risk;

Designed to fail: Effects of the default option and information complexity on student loan repayment,
James Cox, Daniel Kreisman and Susan Dynarski, in Journal of Public Economics (2020)
Keywords: Student loans; Default option; Income driven repayment; Experiment;

Designed to Fail: Effects of the Default Option and Information Complexity on Student Loan Repayment,
James Cox, Daniel Kreisman and Susan Dynarski, from Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University (2020)
Keywords: Student Loans, Default Option, Income Driven Repayment, Experiment

A Framework for Extracting the Probability of Default from Stock Option Prices,
Azusa Takeyama, Nick Constantinou and Dmitri Vinogradov, from Institute for Monetary and Economic Studies, Bank of Japan (2012)
Keywords: probability of default (PD), option pricing under credit risk, perturbation method

Decisions among defaults and the effect of the option to do nothing,
Sibilla Di Guida, Davide Marchiori and Ido Erev, in Economics Letters (2012)
Keywords: Default options; Rare events; Decisions from experience; Clicking paradigm; Status quo;

Stock options and credit default swaps in risk management,
Bassam Al-Own, Marizah Minhat and Simon Gao, in Journal of International Financial Markets, Institutions and Money (2018)
Keywords: Stock options; Credit default swaps; Risk management; Vega; Bank risk-taking; Credit crisis;

Pricing vulnerable options with stochastic default barriers,
Xingchun Wang, in Finance Research Letters (2016)
Keywords: Vulnerable options; Stochastic default barriers; Common factors; Jump-diffusion processes; Credit risk;

Default Option, Risk-Aversion and Household Borrowing Behaviour,
Ingrid Groessl and Ulrich Fritsche, from University of Hamburg, Department of Socioeconomics (2007)
Keywords: Consumption, exponential utility, certainty equivalent, households, default option, borrowing, risk, risk aversion, risk management

Effects of Default Option and Lateral Presentation on Consumer Choice of the Sustainable Option in an Online Choice Task,
Gerrit Antonides and Michelle Welvaarts, in Sustainability (2020)
Keywords: sustainable choice; online purchase; default option; left–right presentation

Default Options and Training Participation,
Lex Borghans and Bart Golsteyn, from Institute of Labor Economics (IZA) (2013)
Keywords: training, human capital investment, default

Optimal default options,
B. Douglas Bernheim and Jonas Mueller-Gastell, in Journal of Public Economics (2024)
Keywords: Default effects; Optimal defaults; Personal saving; Pension policy; Behavioral public economics;

Does experience eliminate the effect of a default option? - A field experiment on CO2-offsetting for air transport. New title (when published): Are experienced people affected by a pre-set default option - Results from a field experiment,
Åsa Löfgren, Peter Martinsson, Magnus Hennlock and Thomas Sterner, from University of Gothenburg, Department of Economics (2009)
Keywords: CO2-offsetting; Default option; Field experiment; Public goods

Default options and training participation,
Lex Borghans and Bart Golsteyn, in Empirical Economics (2014)
Keywords: Human capital investment, Training, Default, J24, J31, I2,

What motivates a subprime borrower to default?,
Toby Daglish, in Journal of Banking & Finance (2009)
Keywords: Mortgages Real options Default risk

Pricing European Vulnerable Options with Jumps and Stochastic Default Obstacles Barrier under Regime Switching,
Xiangdong Liu and Zanbin Zhang, in Mathematics (2023)
Keywords: regime-switching; jump; default barrier; european vulnerable option; credit risk

Market co-movement between credit default swap curves and option volatility surfaces,
Yukun Shi, Charalampos Stasinakis, Yaofei Xu and Cheng Yan, in International Review of Financial Analysis (2022)
Keywords: Credit default swap; Implied volatility; Options; Unscented Kalman filter;

Are experienced people affected by a pre-set default option—Results from a field experiment,
Åsa Löfgren, Peter Martinsson, Magnus Hennlock and Thomas Sterner, in Journal of Environmental Economics and Management (2012)
Keywords: CO2 offsetting; Default option; Field experiment; Public goods;

Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model,
Sel Dibooglu, Emrah Çevik and Hussein A. Hassan Al Tamimi, in Economic Analysis and Policy (2022)
Keywords: Bank default risk; Financial intermediation; Islamic banking; GARCH option pricing;

Explicit formula for the valuation of catastrophe put option with exponential jump and default risk,
Eunho Koo and Geonwoo Kim, in Chaos, Solitons & Fractals (2017)
Keywords: Catastrophe put option; Exponential jump model; Intensity based model; Default risk;

Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options,
Masaru Tsuruta, in JRFM (2024)
Keywords: sovereign credit default swaps; currency option; sovereign credit risk; jump-diffusion stochastic volatility model; depreciation risk

Pricing and static hedging of American-style knock-in options on defaultable stocks,
João Pedro Vidal Nunes, João Pedro Ruas and José Carlos Dias, in Journal of Banking & Finance (2015)
Keywords: American-style knock-in options; Default; Static hedging; CEV model; JDCEV model;

Price convergence between credit default swap and put option: New evidence,
Ka Kei Chan, Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon, in Journal of Empirical Finance (2023)
Keywords: Credit default swap (CDS); Deep out-of-the-money put option; Market segmentation; Convergence; Trading strategy;

The information content of option-implied volatility for credit default swap valuation,
Charles Cao, Fan Yu and Zhaodong Zhong, in Journal of Financial Markets (2010)
Keywords: Credit default swaps Option implied volatility Historical volatility Price discovery Volatility risk premium

The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps,
Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadari, from Luxembourg School of Finance, University of Luxembourg (2011)
Keywords: Credit default swap spread, option-implied volatility, lead-lag relationship, price discovery, informed trading.

The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps,
Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadori, from Luxembourg School of Finance, University of Luxembourg (2011)
Keywords: Credit default swap spread, option-implied volatility, lead-lag relationship, price

Performance of default risk model with barrier option framework and maximum likelihood estimation: Evidence from Taiwan,
Heng-Chih Chou and David Wang, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Default risk model; Barrier option framework; Default prediction; Maximum likelihood estimation;

The blind spot in residential mortgages: Increasing default option value in the face of declining house prices,
Bogie Ozdemir, in Journal of Risk Management in Financial Institutions (2024)
Keywords: credit risk management, stress testing, probability of default, PD, modelling, loss given default, LGD, modelling, residential mortgages, default option

Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method,
Isil Erol and Kanak Patel, in International Real Estate Review (2007)
Keywords: option pricing; inflation-indexed mortgages; default option; explicit finite difference method; wage-indexed payment mortgage (WIPM)

Using option theory and fundamentals to assess the default risk of listed firms,
George A. Papanastasopoulos, in International Journal of Accounting, Auditing and Performance Evaluation (2007)
Keywords: default risk; fundamentals; options theory; financial performance; distress indicators; accounting information; financial statements; market information; equity prices; listed firms.

Default probability of American lookback option in a mixed jump-diffusion model,
Zhaoqiang Yang, in Physica A: Statistical Mechanics and its Applications (2020)
Keywords: Mixed jump-diffusion model; MJD-fBm; American lookback option; The first passage time; Laplace transform; Explicit formula; Default probability;

The Appropriateness of Default Investment Options in Defined Contribution Plans: Australian Evidence,
Anup Basu and Michael Drew, from Griffith University, Department of Accounting, Finance and Economics (2009)
Keywords: Defined contribution plan, Default option, Asset allocation, Downside risk, Lower partial moment, Value at risk, Expected tail loss

Derivatives and Default Risk,
Sebastian Scholz, from University of Munich, Department of Economics (2010)
Keywords: Forwards; Options; Default Risk; Market Efficiency

Board co-option and default risk,
Ghasan A. Baghdadi, Lily H.G. Nguyen and Edward J. Podolski, in Journal of Corporate Finance (2020)
Keywords: Expected default risk; Board of directors; Agency conflict; Governance;

Introducing Green Electricity as the Default Option,
Sylviane Chassot, Rolf Wüstenhagen, Nicole Fahr and Peter Graf, from Springer (2017)
Keywords: Green default, Behavioral economics, Inertia, Eye tracking, Green power marketing

Default Risk and Cross Section of Returns,
Nusret Cakici, Sris Chatterjee and Ren-Raw Chen, in JRFM (2019)
Keywords: risk management; default risk; option pricing

PRICING CDSS AND CDS OPTIONS UNDER A REGIME-SWITCHING CEV PROCESS WITH JUMP TO DEFAULT,
Ruxing Xu, Dan Wu and Ronghua Yi, in ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH (2016)
Keywords: Credit default swap, CDS options, CEV process, Lattice model, Regime switching

PRICING DEFAULT RISK WITH PARISIAN OPTIONS: EMPIRICAL EVIDENCE FROM HIGH GROWTH COMPANIES,
Ephraim Clark and Sélima Baccar, in Annals of Financial Economics (AFE) (2009)
Keywords: Firm valuation, default and liquidation risk, bankruptcy procedures, Parisian options, Monte Carlo simulation, G13

Default probability of a captive credit bank with government capital injections: A capped barrier option approach,
Chuen-Ping Chang, in Economic Modelling (2012)
Keywords: Capped barrier option; Floorplan financing; Captive bank; Government capital injection; Default probability;

A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008,
Dominik Maltritz, in Journal of Banking & Finance (2010)
Keywords: Banking crises Country defaults Structural credit risk model Crises dependencies Compound option

THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION,
Damiano Brigo and Laurent Cousot, in International Journal of Theoretical and Applied Finance (IJTAF) (2006)
Keywords: Stochastic intensity model, credit default swap, calibration, option pricing, credit spread volatility, Monte Carlo simulation

Applying default probabilities in an exponential barrier structural model,
Arianna Agosto and Enrico Moretto, from Department of Economics, University of Insubria (2010)
Keywords: default structural models, barrier options with exponential boundaries, implied default probability

The start-up decision under default risk,
Nicola Comincioli, Paolo Panteghini and Sergio Vergalli, from Fondazione Eni Enrico Mattei (2021)
Keywords: Real Options, Business Taxation, Default Risk

Option-Based Credit Spreads,
Pietro Veronesi, Yoshio Nozawa and Christopher L. Culp, from C.E.P.R. Discussion Papers (2014)
Keywords: Credit spreads; Default; Merton model; Options

A Generalized Endogenous Grid Method for Models with the Option to Default,
Youngsoo Jang and Soyoung Lee, from University Library of Munich, Germany (2019)
Keywords: Endogenous grid method, Default, Bankruptcy

Implied Default Probabilities and Losses Given Default from Option Prices*,
Jennifer Conrad, Robert F Dittmar and Allaudeen Hameed, in Journal of Financial Econometrics
Keywords: contingent pricing, default probabilities, recovery rates

Implied Default Probabilities and Losses Given Default from Option Prices*,
Jennifer Conrad, Robert F Dittmar and Allaudeen Hameed, in Journal of Financial Econometrics (2020)
Keywords: contingent pricing, default probabilities, recovery rates

Implied Default Probability and Credit Derivatives,
Koichi Matsumoto, in Asia-Pacific Financial Markets (2003)
Keywords: implied default probability, forward measure, default swap, credit spread option, defaultable bond,

A Welfare Analysis on Start-Up Decisions under Default Risk,
Nicola Comincioli, Paolo Panteghini and Sergio Vergalli, from CESifo (2021)
Keywords: real options, business taxation, default risk

The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps,
William Arrata, Alejandro Bernales and Virginie Coudert, from SUERF - The European Money and Finance Forum (2013)
Keywords: Derivatives, financial markets, equity options, commodity futures, Credit Default Swaps (CDSs), market expansion, speculation, volatility, CDS premia, bond spreads

Random consideration and choice: A case study of “default” options,
Sean Horan, in Mathematical Social Sciences (2019)
Keywords: Random consideration; Random utility; Default; No-choice;

Random consideration and choice: A case study of "default" options,
Sean Horan, from Universite de Montreal, Departement de sciences economiques (2018)
Keywords: Random consideration; random utility; default; no-choice

Random Consideration and Choice: A Case Study of "Default" Options,
Sean Horan, from Centre interuniversitaire de recherche en économie quantitative, CIREQ (2018)
Keywords: random consideration, random utility, default, no-choice

VALUES OF MORTGAGES WITH TOP-UP PAYMENT OPTIONS,
Rose Neng Lai, Seow Eng Ong and Tien Foo Sing, in International Journal of Theoretical and Applied Finance (IJTAF) (2006)
Keywords: Negative equity, top-up options, mortgage default

Leverage, options liabilities, and corporate bond pricing,
Henry Huang and Yildiray Yildirim, in Review of Derivatives Research (2008)
Keywords: Default risk, Capital structure, Options, G13, G33,

On the lognormality of forward credit default swap spreads,
George Jabbour, Fatena El Masri and Stephen Young, in Journal of Financial Transformation (2008)
Keywords: Credit derivatives; credit risk; credit default swaps; options on credit default swaps; credit default swaptions

Presale Contract and its Embedded Default and Abandonment Options,
Su Chan, Ko Wang and Jing Yang, in The Journal of Real Estate Finance and Economics (2012)
Keywords: Property presale, Real option, Development decision,

On the determinants of the implied default barrier,
Georges Dionne and Sadok Laajimi, in Journal of Empirical Finance (2012)
Keywords: Barrier option; Default barrier; Bankruptcy prediction; Maximum likelihood estimation; Strategic default; Liquidity shortage;

On the determinants of the implied default barrier,
Georges Dionne and Sadok Laajimi, from HEC Montreal, Canada Research Chair in Risk Management (2011)
Keywords: Barrier option; default barrier; bankruptcy prediction; maximum likelihood estimation; strategic default; liquidity shortage

On the Determinants of the Implied Default Barrier,
Georges Dionne and Sadok Laajimi, from CIRPEE (2009)
Keywords: Barrier option, default barrier, bankruptcy prediction, maximum likelihood estimation, strategic default

Safer Margins for Option Trading: How Accuracy Promotes Efficiency,
Rafi Eldor, Shmuel Hauser and Uzi Yaari, in Multinational Finance Journal (2011)
Keywords: option margins; option default risk; market efficiency; SPAN system

Would you like some coffee with your sugar? A natural field experiment on the efficiency and acceptability of setting zero sugars as a default in coffee-vending machines,
Daniel Priolo, Isabelle Milhabet, Marilena Bertolino, Tom Juille, Dorian Jullien, Guilhem Lecouteux, Ismaël Rafaï and Pierre Thérouanne, from HAL (2023)
Keywords: behavioral policy,nudge,efficiency,default option,acceptability

Would you like some coffee with your sugar? A natural field experiment on the efficiency and acceptability of setting zero sugars as a default in coffee-vending machines,
Daniel Priolo, Isabelle Milhabet, Marilena Bertolino, Tom Juille, Dorian Jullien, Guilhem Lecouteux, Ismaël Rafaï and Pierre Thérouanne, from HAL (2023)
Keywords: behavioral policy,nudge,efficiency,default option,acceptability

Vasicek Model Extension. Premature default,
Maksim Osadchiy, from University Library of Munich, Germany (2021)
Keywords: IRB; Vasicek; Merton; Black-Cox; barrier options; default distribution

Ex-ante implications of sovereign default,
Samreen Malik, in Journal of Banking & Finance (2014)
Keywords: Sovereign defaults; Option-value; Financial integration; Threshold effects;

The golden halo of defaults in simple choices,
Nikki Sullivan, Alexander Breslav, Samyukta Doré, Matthew Bachman and Scott A. Huettel, from London School of Economics and Political Science, LSE Library (2024)
Keywords: choice architecture; default options; eye tracking; case modeling

Equity options, credit default swaps e leverage: un semplice modello a volatilita' stocastica per i derivati azionari e creditizi,
Gaia Barone, from Dipartimento di Economia e Finanza, LUISS Guido Carli (2012)
Keywords: equity options, credit default swaps, leverage, volatilita' stocastica, opzioni perpetue, first-touch digitals, lettere greche, probabilita' dÕinsolvenza, put-call parity.