The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?
- Bruce MizrachAffiliated withDepartment of Economics, Rutgers University
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The 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.
KeywordsVolatility smile Options Enron Bankruptcy
- The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?
Review of Quantitative Finance and Accounting
Volume 27, Issue 4 , pp 365-382
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- Kluwer Academic Publishers
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- Volatility smile
- Industry Sectors
- Bruce Mizrach (1)
- Author Affiliations
- 1. Department of Economics, Rutgers University, 75 Hamilton Street, New Brunswick, NJ, 08901