Option Prices in a Model With Stochastic Disaster Risk SB Seo, JA Wachter Management Science 65 (8), 3449-3469, 2019 | 122 | 2019 |
Do Rare Events Explain CDX Tranche Spreads? SB Seo, JA Wachter The Journal of Finance 73 (5), 2343-2383, 2018 | 61 | 2018 |
Learning, slowly unfolding disasters, and asset prices M Ghaderi, M Kilic, SB Seo Journal of Financial Economics 143 (1), 527-549, 2022 | 17* | 2022 |
Characterizing the Variance Risk Premium: The Role of the Leverage Effect G Hu, K Jacobs, SB Seo Review of Asset Pricing Studies, 2021 | 9 | 2021 |
Is There a Macro-Announcement Premium? M Ghaderi, SB Seo Available at SSRN 3676120, 2021 | 4 | 2021 |
CDS-Implied Risk of Economic Catastrophes SB Seo Work. Pap., Wharton Sch., Univ. Pa, 2016 | 3* | 2016 |
Asset Variance Risk and Compound Option Prices H Doshi, J Ericsson, M Fournier, SB Seo Available at SSRN 3885357, 2021 | 2* | 2021 |
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, 0 | 2* | |
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 | 1 | 2023 |
Options on Interbank Rates and Implied Disaster Risk H Doshi, HJ Kim, SB Seo FEDS Working Paper, 2023 | | 2023 |