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003	CaOODSP
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006	m     o  d f
007	cr |n|||||||||
008	200427t20202020oncd    ob   f000 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
043	|an-cn---
086	1 |aFB3-5/2020-15E-PDF
100	1 |aChang, Bo-Young, |eauthor.
245	12|aA simple method for extracting the probability of default from American put option prices / |cby Bo Young Chang and Greg Orosi.
264	1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264	4|c©2020
300	|a1 online resource (iii, 19 pages) : |bcolour charts.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-15
500	|aCover title.
504	|aIncludes bibliographical references (pages 10-11).
520	3 |a"In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which the probability of default can be inferred. The proposed method is easy to implement and helps overcome the main limitation of the method used in Carr and Wu (2011), which relies on the price of one deep-out-of-the-money put option. Our empirical results are based on seven large U.S. firms for the period 2002 to 2010. These results show that, in some cases, the option-implied probability of default can provide a more accurate estimate of default probability, compared to the estimates implied from credit default swap spreads"--Abstract.
650	0|aStock options|zUnited States.
650	0|aOptions (Finance)|zUnited States.
650	6|aOptions d'achat d'actions|zÉtats-Unis.
650	6|aOptions (Finances)|zÉtats-Unis.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|v2020-15.|w(CaOODSP)9.806221
856	40|qPDF|s1.58 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-15-eng.pdf