Explaining the level of credit spreads: option-implied jump risk premia in a firm value model
Cremers, Martijn et al.
Explaining the level of credit spreads: option-implied jump risk premia in a firm value model - Basle Bank for International Settlements 2005 - 44 p. See BIS 332.15 AMA (Includes Acc. Nos. 32868, 32869, 32870 & 32871)
ISSN: 1020-0959
Monetary Economics
Explaining the level of credit spreads: option-implied jump risk premia in a firm value model - Basle Bank for International Settlements 2005 - 44 p. See BIS 332.15 AMA (Includes Acc. Nos. 32868, 32869, 32870 & 32871)
ISSN: 1020-0959
Monetary Economics