Author Page for Sang Byung Seo

Option Prices in a Model with Stochastic Disaster Risk

Downloads 722 (55,300)

Citation 32

3

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 67 Posted: 26 Jan 2015 Last Revised: 12 Aug 2020

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 621 (66,517)

Citation 18

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 55

Number of pages: 71 Posted: 22 Oct 2013

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 76 (481,614)

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611

Number of pages: 63 Posted: 09 Nov 2013 Last Revised: 01 Feb 2023

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 25 (761,196)

Citation 3

Abstract:

2.

Learning, Slowly Unfolding Disasters, and Asset Prices

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 59 Posted: 09 Aug 2019 Last Revised: 30 Oct 2021

Mohammad Ghaderi, Mete Kilic and Sang Byung Seo

University of Kansas - School of Business, University of Southern California - Marshall School of Business and University of Wisconsin - Madison

Downloads 559 (76,811)

Citation 1

Abstract:

3.

Do Rare Events Explain CDX Tranche Spreads?

Downloads 492 (89,973)

Citation 30

2

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 90 Posted: 19 Sep 2016 Last Revised: 11 Aug 2020

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 468 (94,619)

Citation 18

Abstract:

Do Rare Events Explain Cdx Tranche Spreads?

NBER Working Paper No. w22723

Number of pages: 78 Posted: 10 Oct 2016 Last Revised: 02 Feb 2023

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 24 (769,510)

Citation 18

Abstract:

4.

Is There a Macro-Announcement Premium?

Number of pages: 59 Posted: 12 Oct 2020 Last Revised: 22 Jun 2022

Mohammad Ghaderi and Sang Byung Seo

University of Kansas - School of Business and University of Wisconsin - Madison

Downloads 384 (120,515)

Abstract:

5.

Synthetic Options and Implied Volatility for the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming

Number of pages: 51 Posted: 01 Nov 2021 Last Revised: 02 Dec 2021

Steven Shu-Hsiu Chen, Hitesh Doshi and Sang Byung Seo

Texas A&M International University, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison

Downloads 381 (121,164)

Abstract:

6.

Characterizing the Variance Risk Premium: The Role of the Leverage Effect

Review of Asset Pricing Studies, Forthcoming

Number of pages: 66 Posted: 27 Aug 2018 Last Revised: 09 Sep 2021

Guanglian Hu, Kris Jacobs and Sang Byung Seo

The University of Sydney - Discipline of Finance, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison

Downloads 307 (153,226)

Abstract:

7.

Why Do Rational Investors Like Variance at the Peak of a Crisis? A Learning-Based Explanation

Number of pages: 59 Posted: 14 Nov 2021 Last Revised: 30 Jan 2023

Mohammad Ghaderi, Mete Kilic and Sang Byung Seo

University of Kansas - School of Business, University of Southern California - Marshall School of Business and University of Wisconsin - Madison

Downloads 173 (266,297)

Abstract:

8.

Asset Variance Risk and Compound Option Prices

Number of pages: 54 Posted: 14 Jul 2021

Hitesh Doshi, Jan Ericsson, Mathieu Fournier and Sang Byung Seo

University of Houston - C.T. Bauer College of Business, McGill University, UNSW Business School and University of Wisconsin - Madison

Downloads 139 (317,353)

Abstract:

9.

What Interbank Rates Tell Us About Time-Varying Disaster Risk

Number of pages: 56 Posted: 23 Oct 2019 Last Revised: 24 Feb 2022

Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo

University of Houston - C.T. Bauer College of Business, Federal Reserve Board and University of Wisconsin - Madison

Downloads 127 (339,978)

Sang Byung Seo

University of Wisconsin - Madison

Assistant Professor of Finance

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3,284

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Scholarly Papers (9)

Option Prices in a Model with Stochastic Disaster Risk

Option Prices in a Model with Stochastic Disaster Risk

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

Abstract:

Learning, Slowly Unfolding Disasters, and Asset Prices

Abstract:

Do Rare Events Explain CDX Tranche Spreads?

Do Rare Events Explain CDX Tranche Spreads?

Abstract:

Do Rare Events Explain Cdx Tranche Spreads?

Abstract:

Is There a Macro-Announcement Premium?

Abstract:

Synthetic Options and Implied Volatility for the Corporate Bond Market

Abstract:

Characterizing the Variance Risk Premium: The Role of the Leverage Effect

Abstract:

Why Do Rational Investors Like Variance at the Peak of a Crisis? A Learning-Based Explanation

Abstract:

Asset Variance Risk and Compound Option Prices

Abstract:

What Interbank Rates Tell Us About Time-Varying Disaster Risk

Abstract: