Title: Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
Abstract: Journal Article Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model Get access K.J. Martijn Cremers, K.J. Martijn Cremers Search for other works by this author on: Oxford Academic Google Scholar Joost Driessen, Joost Driessen Search for other works by this author on: Oxford Academic Google Scholar Pascal Maenhout Pascal Maenhout Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 21, Issue 5, September 2008, Pages 2209–2242, https://doi.org/10.1093/rfs/hhn071 Published: 19 August 2008