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Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress

Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189

Persistent link: https://www.econbiz.de/10003900991

Oil convenience yields estimated under demand/supply shock

Lin, William; Duan, Chang-wen - In: Review of quantitative finance and accounting 28 (2007) 2, pp. 203-225

Persistent link: https://www.econbiz.de/10003492797

Do foreign institutions outperform in the Taiwan options market?

Lin, William; Tsai, Shih-Chuan; Chiu, Peter - In: The North American journal of economics and finance : a … 35 (2016), pp. 101-115

Persistent link: https://www.econbiz.de/10011672304

Retrieving aggregate information from option volume

Lin, William; Tsai, Shih-Chuan; Zheng, Zhenlong; Qiao, Shuai - In: International review of economics & finance : IREF 55 (2018), pp. 220-232

Persistent link: https://www.econbiz.de/10012033475

Are Credit Spreads Too Low or Too High - A Hybrid Barrier Option Approach for Financial Distress

LIn, William T. - 2010

Based on the works of Brockman and Turtle (2003) and Giesecke (2004), we propose in this study a hybrid barrier option model to explain observed credit spreads. It is free of problems with the structural model which underprescribed credit spreads for investment grade corporate bonds and...

Persistent link: https://www.econbiz.de/10013148676