Maglione, Federico; Mancino, Maria Elvira - In: Risks : open access journal 11 (2023) 10, pp. 1-25
This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics, thus producing a comparable statistic...