The risk and return of equity and credit index options
Hitesh Doshi, Jan Ericsson, Mathieu Fournier, Sang Byung Seo
| Year of publication: |
2024
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|---|---|
| Authors: | Doshi, Hitesh ; Ericsson, Jan ; Fournier, Mathieu ; Seo, Sang Byung |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 161.2024, Art.-No. 103932, p. 1-21
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| Subject: | Structural credit risk model | Compound options | Credit index options | Pricing consistency | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2024.103932 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075691