A Simple Robust Link between American Puts and Credit Protection

By Peter P. Carr, Liuren Wu. 2011

118 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/5f605e3726aa34803d25ff7f50d72ef3d52def8c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. D. Oh
2. Andrew J. Patton
3. S. J. Koopman
4. André Lucas
5. Tim Bollerslev
6. Kevin Sheppard
7. Brendan K. Beare
8. Gregor Kastner

Citations in the corpus

• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2018, background): “Under some simplifying assumptions (such as a constant risk free rate and default hazard rate) see Carr and Wu (2011), for example, it can be shown that the CDS spread in basis points is”
• Investor Attention and FX Market Volatility (2015, unknown): “In a seminal paper, Da et al. (2012) propose a new measure of investor attention constructed from Google search intensity data.”