Default Risk and Stock Returns
碩士 === 國立中興大學 === 財務金融學系所 === 106 === Carr and Wu (2011) points out the company exists the default corridor that stock price will never enter in. Under the assumption, this paper use deep out-of-the-money (DOTM) American put option to build up URC which can predict default probability. Moreover, thi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/25h4r6 |