Arbeitspapier
When did the options market in Enron lose its' smirk?
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the smart money remained far too optimistic about the stock until just weeks before their bankruptcy filing.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2002-24
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
Enron
implied probability distributions
options
Insolvenz
Optionsgeschäft
USA
Statistische Verteilung
- Event
-
Geistige Schöpfung
- (who)
-
Mizrach, Bruce
- Event
-
Veröffentlichung
- (who)
-
Rutgers University, Department of Economics
- (where)
-
New Brunswick, NJ
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mizrach, Bruce
- Rutgers University, Department of Economics
Time of origin
- 2002
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