Equity and Credit Index Options: Risk & Return Analysis
Risk & Return Analysis: A new credit risk model accurately prices equity and credit index options, contradicting previous claims of inconsistent pricing, and highlights the need to balance three systematic risk sources.
Featured in No. 24 on 2 Nov 2023 ·
- Released
- 14 Jul 2021
- First featured
- No. 24 · 2 Nov 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4618313
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