Risk Pricing in Credit Options
Research shows that delta-hedged credit index options have large negative Sharpe ratios, largely explained by a single credit-specific factor related to credit option order flow.
Featured in No. 68 on 3 Oct 2024 · 3 days after release
- Released
- 30 Sep 2024
- First featured
- No. 68 · 3 Oct 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 254
- Identifier
- SSRN 4973596
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