Listar Departament: Finances i Comptabilitat por autoría "604bfbbd-4e08-4194-8d4e-93661f8d5a1a"
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Contingent Claims and Hedging of Credit Risk with Equity Options
Oxford University Press (2024)Using contingent-claims valuation, we introduce novel hedge ratios for credit exposures using put options. Option hedge ratios are generally in line with the empirical sensitivities of credit spread changes to put option ...
