Volatility information difference between CDS, options, and the cross section of options returns

DOI10.1080/14697688.2020.1814018zbMath1471.91570OpenAlexW3094632352MaRDI QIDQ4957262

Biao Guo, Yukun Shi, Yaofei Xu

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814018

zbMATH Keywords

implied volatilityCDSequity returnsequity option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Forecasting the term structure of government bond yields
• Hypothesis Testing with Efficient Method of Moments Estimation
• Common risk factors in the returns on stocks and bonds

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