Abstract
An institution active in listed or over-the-counter options for investment or risk management purposes often utilizes more than simple put or call positions to implement a given strategy; depending on the results it is attempting to achieve, it may use options in combinations which yield specific payoff or protection profiles not attainable through simple positions. In the previous chapter we have discussed the credit risk of standard put and call transactions. In this chapter we expand the discussion by exploring the credit risk of compound option strategies.
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© 1997 Erik Banks
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Banks, E. (1997). The Credit Risk of Compound Option Strategies. In: The Credit Risk of Complex Derivatives. Finance and Capital Markets series. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-14484-6_4
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DOI: https://doi.org/10.1007/978-1-349-14484-6_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-14486-0
Online ISBN: 978-1-349-14484-6
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)