Firm-specific risk-neutral distributions with options and CDS

Sirio Aramonte, Mohammad R. Jahan-Parvar, Samuel Rosen, John W. Schindler

Year of publication:	2022
Authors:	Aramonte, Sirio ; Jahan-Parvar, Mohammad R. ; Rosen, Samuel ; Schindler, John W.
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. 68.2022, 9, p. 7018-7033
Subject:	CDS spreads \| investor expectations \| risk-neutral distributions \| Kreditderivat \| Credit derivative \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Kreditrisiko \| Credit risk \| Statistische Verteilung \| Statistical distribution \| Risikoprämie \| Risk premium \| Derivat \| Derivative

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