The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?

The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market’s expectation of Enron’s risk of collapse. I find that the options market remained far too optimistic about the stock until just weeks before their bankruptcy filing. Copyright Springer Science + Business Media, LLC 2006

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Year of publication:	2006
Authors:	Mizrach, Bruce
Published in:	Review of Quantitative Finance and Accounting. - Springer. - Vol. 27.2006, 4, p. 365-382
Publisher:	Springer
Subject:	Volatility smile \| Options \| Enron \| Bankruptcy

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005542133