Pricing credit risk through equity options
Delzio Marco Fabio
CEIS Working Papers
In this paper we propose a new methodology for calculating the risk-neutral default probability of a generic firm XYZ, using equity options prices. This model can be used for the pricing and risk management of corporate bonds and, more in general, credit
Number: 198
Date: Thursday, January 1, 2004
Revision Date: Sunday, February 1, 2004