Pricing and Liquidity of Complex and Structured Derivatives

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The book presents the innovative "strike of default" (SOD) benchmark, integrating insights from both the credit and option markets to assess the implied probability of default for exchange-listed companies. By leveraging data from credit default swaps (CDS) and option pricing methods, the author establishes a time-dependent share price indicative of market expectations regarding defaults. This approach offers a novel framework for analyzing market perceptions of risk associated with various underlying assets.