Implied Default Probabilities and Losses Given Default from...

Journal of Financial Econometrics 2020 / 06 Vol. 18; Iss. 3

Implied Default Probabilities and Losses Given Default from Option Prices*

Conrad, Jennifer, Dittmar, Robert F, Hameed, Allaudeen
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Volume:
18
Journal:
Journal of Financial Econometrics
DOI:
10.1093/jjfinec/nbaa017
Date:
June, 2020
File:
PDF, 366 KB
2020
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