Bo Young Chang
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
Bo Young Chang has a total of 4 co-authors. Here are the top co-authors by number of shared publications:
- Chayawat Ornthanalai
Is an associate professor of finance in the Rotman School of Management at University of Toronto in Toronto ON, Canada
1 shared publication - Greg Orosi
American University of Sharjah
1 shared publication - Kris Jacobs
University of Houston
1 shared publication - Stephen Figlewski
Is a professor of finance at New York University, Stern School of Business in New York, NY
1 shared publication
Latest Publications
- 19 June 2020
- Published by Wiley in Journal of Futures Markets
- Vol. 40 (10) , 1535-1547
A simple method for extracting the probability of default from American put option prices
We present a novel method for extracting the risk‐neutral probability of default (PD) of a firm from American put option prices. Building on the idea of a default corridor proposed by Carr and Wu, we derive a parsimonious closed‐form formula for American put option prices from which the PD can be inferred. The method is easy to implement. Our empirical results based on seven large US firms for the period 2002–2010 show that, in some cases, our option‐implied PD can provide a more accurate estimate of default probability than the estimates implied from credit default swaps.
- 19 June 2020
- Published by Wiley in Journal of Futures Markets
- Vol. 40 (10) , 1535-1547
A simple method for extracting the probability of default from American put option prices
We present a novel method for extracting the risk‐neutral probability of default (PD) of a firm from American put option prices. Building on the idea of a default corridor proposed by Carr and Wu, we derive a parsimonious closed‐form formula for American put option prices from which the PD can be inferred. The method is easy to implement. Our empirical results based on seven large US firms for the period 2002–2010 show that, in some cases, our option‐implied PD can provide a more accurate estimate of default probability than the estimates implied from credit default swaps.
- 31 August 2018
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 26 (1) , 109-111
Remembering Peter Christoffersen (1967–2018)
Peter Christoffersen passed away on June 22, 2018 at an early age. He was one of the most prolific and gifted researchers in the area of derivatives, combining a very strong theoretical background with an appreciation for the practical details of real world markets. He will be sorely missed. This memorial article provides a few general comments about his work and offers reminiscences about Peter as a researcher, a teacher, and a mentor from three of his coauthors and former students.
- 31 August 2018
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 26 (1) , 109-111
Remembering Peter Christoffersen (1967–2018)
Peter Christoffersen passed away on June 22, 2018 at an early age. He was one of the most prolific and gifted researchers in the area of derivatives, combining a very strong theoretical background with an appreciation for the practical details of real world markets. He will be sorely missed. This memorial article provides a few general comments about his work and offers reminiscences about Peter as a researcher, a teacher, and a mentor from three of his coauthors and former students.