Abstract
Option Pricing and Credit Risk
by
Mrinal Ghosh
In this talk we begin with a gentle introduction to Black - Scholes theory of option pricing. Then we describe Merton's structural approach to credit risk via option pricing. We present explicit expressions for debt price and default probability. Finally we employ non-linear filtering to develop an EM algorithm to compute debt price and default probability.
Committee
Workshop
Key Dates
Communication
First Conference Link