Price convergence between credit default swap and put option : new evidence
Ka Kei Chan, Olga Kolokolova, Ming-Tsung Lin, Ser-Huang Poon
| Year of publication: |
2023
|
|---|---|
| Authors: | Chan, Ka Kei ; Kolokolova, Olga ; Lin, Ming-Tsung ; Poon, Ser-Huang |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 188-213
|
| Subject: | Convergence | Credit default swap (CDS) | Deep out-of-the-money put option | Market segmentation | Trading strategy | Kreditderivat | Credit derivative | Derivat | Derivative | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Swap | Kreditrisiko | Credit risk | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2023.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014476820