Showing 1 - 4 of 4
In an equilibrium Black and Scholes (1973) economy, a firm's default risk and its expected equity return are non-monotonically related. This may explain the surprising relation found between these two variables in recent empirical research. Although changes in default risk induced by expected...
Persistent link: https://www.econbiz.de/10013133826
We study the asset pricing implications of being able to optimally early exercise a plain-vanilla put option, contrasting the expected returns of equivalent American and European put options. Standard pricing models with stochastic volatility and asset-value jumps suggest the expected return...
Persistent link: https://www.econbiz.de/10012861702
Persistent link: https://www.econbiz.de/10011900038
Persistent link: https://www.econbiz.de/10013478527