Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
Year of publication: |
2008
|
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Authors: | Cremers, Martijn ; Driessen, Joost ; Maenhout, Pascal J. |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 21.2008, 5, p. 2209-2242
|
Subject: | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | USA | United States | 1996-2002 |
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