Credit Risk and Underlying Asset Risk
이종용
2018년
' Credit Risk and Underlying Asset Risk' 의 참고문헌
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Volatility and expected option returns: A noteChaudhury, M. [2017]
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Volatility and expected option returns
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Understanding index option returnsBroadie, M. [2009]
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Theory of rational option pricingMerton, R. C. [1973]
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The pricing of options and corporate liabilitiesBlack, F. [1973]
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The option pricing model and the risk factor of stockGalai, D. [1976]
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On the pricing of corporate debt: The risk structure of interest ratesMerton, R. C. [1974]
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On estimating the expected return on the market: An exploratory investigationMerton, R. C. [1980]
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Forecasting default with the Merton distance to default modelBharath, S. T. [2008]
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Expected option returnsCoval, J. D. [2001]
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Cross-section of option returns and volatilityGoyal, A. [2009]
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A table of normal integralsOwen, D. [1980]
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A simple formula for the expected rate of return of an option over a finite holding periodRubinstein, M. [1984]