The term structure of credit default swap spreads and the cross section of options returns
Hao Zhang, Yukun Shi, Dun Han, Pei Liu, Yaofei Xu
| Year of publication: |
2025
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|---|---|
| Authors: | Zhang, Hao ; Shi, Yukun ; Han, Dun ; Liu, Pei ; Xu, Yaofei |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 6, p. 637-658
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| Subject: | CDS slope | credit default swap spread | delta-hedged option return | Kreditderivat | Credit derivative | Derivat | Derivative | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22582 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464836