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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2002-24
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Enron
implied probability distributions
options
Insolvenz
Optionsgeschäft
USA
Statistische Verteilung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mizrach, Bruce
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mizrach, Bruce
- Rutgers University, Department of Economics
Entstanden
- 2002
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