When did the options market in Enron lose its' smirk?

The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the smart money remained far too optimistic about the stock until just weeks before their bankruptcy filing.

MoreLess

Year of publication:	2002
Authors:	Mizrach, Bruce
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	Insolvenz \| Optionsgeschäft \| USA \| Statistische Verteilung \| Enron \| implied probability distributions \| options

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Working Paper ; 2002-24
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	359745067 [GVK] hdl:10419/79191 [Handle] RePEc:rut:rutres:200224 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010318377