Option prices in a model with stochastic disaster risk SB Seo, JA Wachter Management Science 65 (8), 3449-3469, 2019 | 126 | 2019 |
Do rare events explain CDX tranche spreads? SB Seo, JA Wachter The Journal of Finance 73 (5), 2343-2383, 2018 | 69 | 2018 |
Learning, slowly unfolding disasters, and asset prices M Ghaderi, M Kilic, SB Seo Journal of Financial Economics 143 (1), 527-549, 2022 | 24 | 2022 |
Characterizing the variance risk premium: The role of the leverage effect G Hu, K Jacobs, SB Seo Review of Asset Pricing Studies, 2021 | 8 | 2021 |
Is There a Macro-Announcement Premium? M Ghaderi, SB Seo Available at SSRN 3676120, 2021 | 5 | 2021 |
The Risk and Return of Equity and Credit Index Options H Doshi, J Ericsson, M Fournier, SB Seo Available at SSRN 3885357, 2024 | 3* | 2024 |
Why do rational investors like variance at the peak of a crisis? A learning-based explanation M Ghaderi, M Kilic, SB Seo Journal of Monetary Economics, 2023 | 3 | 2023 |
Synthetic options and implied volatility for the corporate bond market SSH Chen, H Doshi, SB Seo Journal of Financial and Quantitative Analysis 58 (3), 1295-1325, 2023 | 3 | 2023 |
CDS-Implied Risk of Economic Catastrophes SB Seo Work. Pap., Wharton Sch., Univ. Pa, 2016 | 3* | 2016 |
Options on Interbank Rates and Implied Disaster Risk H Doshi, HJ Kim, SB Seo FEDS Working Paper, 2023 | 1 | 2023 |