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Sang Byung Seo
Sang Byung Seo
Assistant Professor of Finance, University of Wisconsin-Madison
Verified email at wisc.edu - Homepage
Title
Cited by
Cited by
Year
Option Prices in a Model With Stochastic Disaster Risk
SB Seo, JA Wachter
Management Science 65 (8), 3449-3469, 2019
1222019
Do Rare Events Explain CDX Tranche Spreads?
SB Seo, JA Wachter
The Journal of Finance 73 (5), 2343-2383, 2018
612018
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
92021
Is There a Macro-Announcement Premium?
M Ghaderi, SB Seo
Available at SSRN 3676120, 2021
42021
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
12023
Options on Interbank Rates and Implied Disaster Risk
H Doshi, HJ Kim, SB Seo
FEDS Working Paper, 2023
2023
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