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Derivative pricing with liquidity risk : theory and evidence from the credit default swap market
Bongaerts, Dion; Jong, Frank de; Driessen, Joost - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 203-240
Persistent link: https://www.econbiz.de/10008991178
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Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
BONGAERTS, DION; DE JONG, FRANK; DRIESSEN, JOOST - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 203-241
Persistent link: https://www.econbiz.de/10008781315
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The price of correlation risk : evidence from equity options
Driessen, Joost; Maenhout, Pascal J.; Vilkov, Grigory - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1377-1406
Persistent link: https://www.econbiz.de/10003871954
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The Price of Correlation Risk: Evidence from Equity Options
Driessen, Joost; Maenhout, Pascalj; Vilkov, Grigory - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1377-1406
Persistent link: https://www.econbiz.de/10008254261