Individual stock-option prices and credit spreads

Journal of Banking and Finance

Volumn 32, Issue 12, 2008, Pages 2706-2715

  Cremers, Martijn ^a   Driessen, Joost ^b   Maenhout, Pascal ^c   Weinbaum, David ^d  

^a YALE SCHOOL OF MANAGEMENT   (United States)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c INSEAD   (France)

^d SAS Institute Inc   (United States)

Author keywords

Credit spreads; Implied volatility; Options; Skew

Indexed keywords

EID: 52649123473     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.07.005     Document Type: Article

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