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A unified framework for pricing credit and equity derivatives

Author

Listed:
  • Andrea De Martino

    (Barcelona GSE)

  • Edward Manuel Ruiz Crosby

    (BCRP)

  • Roberto Stagni

    (Barcelona GSE)

Abstract

This master project scrutinizes the underlying theoretical arguments within Bayraktar and Yang's (2011) model and tests if it is robust with newer 2017 data. We demonstrate all the related strong mathematical foundations to understand their model. We also observe that the matching between the observed and estimated data is not as good as expected with the Ford Motor Company data yet being better for the SPX Index data. Thus we claim for the model to be improved with more recent research.

Suggested Citation

  • Andrea De Martino & Edward Manuel Ruiz Crosby & Roberto Stagni, 2017. "A unified framework for pricing credit and equity derivatives," Working Papers 116, Peruvian Economic Association.
    • Handle: RePEc:apc:wpaper:2017-116
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    References listed on IDEAS

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