The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?
AbstractThe 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 options market remained far too optimistic about the stock until just weeks before their bankruptcy filing. Copyright Springer Science + Business Media, LLC 2006
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 27 (2006)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Volatility smile; Options; Enron; Bankruptcy;
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