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1.
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There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard [...]
2017 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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We present a novel method for extracting the risk‐neutral probability of default (PD) of a firm from American put option prices. Building on the idea of a default corrido[...]
2020 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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