ON THE RELATIVE PRICING OF LONG MATURITY S&P 500 INDEX OPTIONS AND CDX TRANCHES
Year of publication: |
2010
|
---|---|
Authors: | Collin-Dufresne, Pierre ; Goldstein, Robert S ; Yangi, Fan |
Published in: |
Working paper / National Bureau of Economic Research, Inc. - Cambridge, Mass, ISSN 0898-2937, ZDB-ID 12239057. - 2010, 15734
|
Saved in:
Saved in favorites
Similar items by person
-
IS CREDIT EVENT RISK PRICED? MODELING CONTAGION VIA THE UPDATING OF BELIEFS.
Collin-Dufresne, Pierre, (2010)
-
The Term Structure of Interest Rates as a Random Field.
Goldstein, Robert S, (2000)
-
Modeling credit contagion via the updating of fragile beliefs
Benzoni, Luca, (2012)
- More ...