Assessing the impact of credit risk on equity options via information contents and compound options
Year of publication: |
2023
|
---|---|
Authors: | Maglione, Federico ; Mancino, Maria Elvira |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 10, Art.-No. 183, p. 1-25
|
Subject: | defaultable options | credit risk | leverage effect | volatility skew | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
-
The leverage effect and the basket-index put spread
Bai, Jennie, (2019)
-
Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki, (2014)
-
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F., (2017)
- More ...
-
Credit Spreads, Leverage and Volatility : a Cointegration Approach
Maglione, Federico, (2020)
-
The Impact of Credit Risk on Equity Options
Maglione, Federico, (2020)
-
Multifractality in Finance : A Deep Understanding and Review of Mandelbrot's MMAR
Maglione, Federico, (2015)
- More ...