Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
K. J. Martijn Cremers; Joost Driessen; Pascal Maenhout
| Year of publication: |
2008
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|---|---|
| Authors: | Cremers, Martijn ; Driessen, Joost ; Maenhout, Pascal J. |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 21.2008, 5, p. 2209-2242
|
| Subject: | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | USA | United States | 1996-2002 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003765155