Continuous Term Structures for Implied Recovery
نویسندگان
چکیده
منابع مشابه
Option-Implied Term Structures
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework theoretically justifies (fattailed) extrap...
متن کاملSupplement to: Option-Implied Term Structures
1. Choose μ(Z) and σ(Z). To center expanions around Black-Scholes, use (3.17). 2. Construct P (β,Z) from Proposition 1. 3. Choose Kn = (Ky(n) + 1)(Kτ (n) + 1) to grow slowly as n→∞. See Remark 5.1 in Section 5. 4. Optimize the objective function over sieve coefficients in (3.10), using all options from a given cross-section of options. 5. Form V̂n using (B.8) and use critical values from standar...
متن کاملImplied Recovery
In the absence of forward-looking models for recovery rates, market participants tend to use exogenously assumed constant recovery rates in pricing models. We develop a flexible jumpto-default model that uses observables: the stock price and stock volatility in conjunction with credit spreads to identify implied, endogenous, dynamic functions of the recovery rate and default probability. The mo...
متن کاملimplied term in donating the dowry
the bride possesses the right as to the dowry as soon asterms of marriage are uttered and is allowed to use it inany way she wishes, including denoting it altogether to thebridegroom and discharge him of his obligations in thisconnection. on the other hand, divorce before intercourseis considered an independent factor in transferring half ofthe dowry to the bridegroom based on which, according ...
متن کاملDISCRETE SIZE AND DISCRETE-CONTINUOUS CONFIGURATION OPTIMIZATION METHODS FOR TRUSS STRUCTURES USING THE HARMONY SEARCH ALGORITHM
Many methods have been developed for structural size and configuration optimization in which cross-sectional areas are usually assumed to be continuous. In most practical structural engineering design problems, however, the design variables are discrete. This paper proposes two efficient structural optimization methods based on the harmony search (HS) heuristic algorithm that treat both discret...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2694207