Georgios Angelopoulos, Daniel Giamouridis, Georgios Nikolakakis: Cross-market deviations in (deep out-of-the-money) equity put option prices and credit defaultswap spreads of the same firm are temporary and predict future movements in the put options and credit default swaps (Carr and Wu, 2011).
Professor of Finance, Athens University of Economics and Business
Research Associate, EDHEC Business School
Researcher, Athens University of Economics and Business
|Type :||Working paper|
|Date :||le 05/03/2012|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ email@example.com ]|
|Research Cluster :||Finance|