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Pascal Maenhout
Associate Professor of Finance
Journal Article
Maenhout P., Cremers M., Driessen J., Weinbaum D. (2008). Individual Stock-option Prices and Credit Spreads Journal of Banking and Finance, 32(12), pp. 2706-2715.
This paper introduces measures of volatility and jump risk that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain useful information for credit spreads and improve on historical volatilities when explaining the cross-sectional and time-series variation in a panel of corporate bond spreads.