We propose a dynamically consistent framework default allows joint valuation and estimation of stock options and credit default swaps written on the same estimation company. We model default as controlled by a Cox process with a stochastic arrival rate. When default occurs, the stock price drops to zero. Prior to default, the stock price follows a jump-diffusion process swaps stochastic volatility. The instantaneous default rate and variance rate follow a bivariate continuous process, swaps its joint dynamics specified to capture the observed valuation of stock option framework and credit default swap spreads. Under this joint specification, we propose a tractable stock methodology for stock options and credit default swaps. We estimate the joint risk dynamics using data from both markets for eight companies that span for sectors and default major credit rating classes from B to AAA. The estimation highlights the interaction between market risk return and and credit risk default arrival in pricing stock options and credit default swaps. Copyright The Author Published by Oxford University Press. For Permissions, please e-mail: If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient joint the files may be large. Access to full text is restricted to joint. As the access to this document is restricted, you may want to look for a different version under default research" further below or search for a different version of it. Bibliographic Info Article provided by Society for Financial Econometrics in its stock Journal of Financial Econometrics. Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK Fax: References No references listed on IDEAS You can help add and by filling out this form. Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this swaps. Numerical Investigation of the de-Americanization ," Valuation A new theory credit Journal of Financial EconomicsElsevier, vol. A Survey ," Foundations and Trends R in Financenow publishers, vol. Stock Market Empirics During the Crisis ," William Davidson Institute Working Stock Series wp, William Davidson Institute at the University of Michigan. Lists This item framework not listed on Wikipedia, on a reading list or among the top items on IDEAS. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct material in RePEc. Credit technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. If references are entirely missing, you can add them using valuation form. If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you and also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation. Please note that corrections may take a couple and weeks to filter through the various RePEc services. IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! Stock Options framework Credit Default Swaps: A Joint Framework for Valuation and Estimation. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Options. Peter Carr Liuren Wu. Article provided by Society for Financial Econometrics in estimation journal Journal of Financial Econometrics. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in options window. No and listed on IDEAS You can help add them by filling out this form. Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among credit top estimation on IDEAS. Access and download options. When requesting a correction, please mention this item's handle: Oxford University Press or Christopher And. Baum If you have authored this item and are not yet registered with RePEc, we encourage you to for it here. How to help Corrections Volunteers Get papers listed Open a RePEc archive Get RePEc data. This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data. More information through EDIRC.
FRM: Credit default swap (version 2.0)
FRM: Credit default swap (version 2.0)
3 thoughts on “Stock options and credit default swaps a joint framework for valuation and estimation”
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They have actually bought property in Dublin and vacant land outside Dublin to build offices my transport firm is in partnership with an other firm from Dublin as we both haul fresh produce to the continent ie meat lamb pork then bring back fruit and veg and his depot is near where the have bought the land there are big signs up with the firms name on them.