Default risk and option returns
Aurelio Vasquez, Xiao Xiao
| Year of publication: |
2024
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|---|---|
| Authors: | Vasquez, Aurelio ; Xiao, Xiao |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 4, p. 2144-2167
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| Subject: | capital structure model | default risk | delta-hedged option returns | variance risk premium | volatility | Risikoprämie | Risk premium | Volatilität | Volatility | Kreditrisiko | Credit risk | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income | Kapitalstruktur | Capital structure | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Risiko | Risk | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2023.4796 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014519915