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A simple robust link between American puts and credit protection. (2011)

by Peter Carr , Liuren Wu , Yakov Amihud , Arthur Berd , Vineer Bhansali , Menachem Brenner , Daniel Brown , Ross Garon , Sanjay Dasgupta , Darrell Duffie , Bruno Dupire , Robert En-Gle , Stephen Figlewski , Bjorn Flesaker , Eric Ghysels , Kay Giesecke , Haitao Li , Ziqiang Liu , Dilip Madan , Eric Rosenfeld , Ian Schaad , Marti Subrahmanyam , Serge Tchikanda , Andrea Vedolin , Arun Verma , Yan Wang , David Weinbaum , Robert Whitelaw
Venue:Review of Financial Studies,
Citations:9 - 2 self