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Credit Risk, Capital Structure and the Pricing of Equity Options [Paperback]

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Item description for Credit Risk, Capital Structure and the Pricing of Equity Options by Michael Hanke...

This book is on option pricing in firm-value-based ("structural") credit risk models. Using modern techniques (change of numeraire) instead of directly solving partial differential equations (the main approach in the literature), closed-form pricing formulae for options on equity can be derived for a range of well-known models from this class. A common feature of these models is the assumption of an exogenously given firm value process, which leads to an endogenous equity (stock) price process. The stock price process depends directly on the firm's capital structure. This allows us not only to study credit risk effects in option prices, but also to investigate option price changes resulting from changes in a firm's capital structure. Numerical results illustrate the implications of our models. Numerous figures and tables allow for an easy comparison of various structural credit risk models.

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Item Specifications...

Pages   224
Est. Packaging Dimensions:   Length: 9.5" Width: 6.5" Height: 0.6"
Weight:   0.8 lbs.
Binding  Softcover
Release Date   May 15, 2003
Publisher   Springer
ISBN  321100520X  
ISBN13  9783211005200  

Availability  0 units.

More About Michael Hanke

Register your artisan biography and upload your photo! Michael Hanke has an academic affiliation as follows - MHeco Consulting, USA.

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Product Categories

1Books > Subjects > Business & Investing > Economics > General
2Books > Subjects > Business & Investing > Economics > Macroeconomics
3Books > Subjects > Business & Investing > Finance
4Books > Subjects > Business & Investing > General
5Books > Subjects > Business & Investing > Investing > General
6Books > Subjects > Business & Investing > Investing > Options
7Books > Subjects > Business & Investing > Management & Leadership > Pricing
8Books > Subjects > Business & Investing > Personal Finance > General
9Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General

Reviews - What do customers think about Credit Risk, Capital Structure and the Pricing of Equity Options?

Self-contained, concise, to the point  Sep 3, 2003
For a graduate student in finance with an interest in derivatives, this is an excellent introduction to
* structural credit risk models (starting from Merton 1974, guiding the reader to very recent models)
* change of numeraire techniques
* the extension of structural credit models for option valuation.

Although - at first sight - it seems to be very technical, this is definitely the most accessible book in this area I have ever seen!


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