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P. Carr and L. Wu, “A Simple Robust Link between American Puts and Credit Insurance,” (Working paper, Bloomberg LP, New York University, and Baruch College, 7 May 2008).

P. Carr and L. Wu, “A Simple Robust Link between American Puts and Credit Insurance,” (Working paper, Bloomberg LP, New York University, and Baruch College, 7 May 2008).

Abstract: We develop a simple robust link between equity out-of-the-money American put options and a pure credit insurance contract on the same reference company. Assuming that the stock price stays above a barrier B>0 before default but drops and remains below a lower barrier A

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