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Explaining the level of credit spreads: option-implied jump risk premia in a
firm
value
model
Cremers, Martijn
;
Driessen, Joost
;
Maenhout, Pascal
; …
-
Bank for International Settlements (BIS)
-
2005
structural jump-diffusion
firm
value
model
to assess the level of credit spreads that is generated by option-implied jump risk …
Persistent link: https://www.econbiz.de/10005063349
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