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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
1262019
Do rare events explain CDX tranche spreads?
SB Seo, JA Wachter
The Journal of Finance 73 (5), 2343-2383, 2018
682018
Learning, slowly unfolding disasters, and asset prices
M Ghaderi, M Kilic, SB Seo
Journal of Financial Economics 143 (1), 527-549, 2022
232022
Characterizing the variance risk premium: The role of the leverage effect
G Hu, K Jacobs, SB Seo
Review of Asset Pricing Studies, 2021
82021
Is There a Macro-Announcement Premium?
M Ghaderi, SB Seo
Available at SSRN 3676120, 2021
52021
The Risk and Return of Equity and Credit Index Options
H Doshi, J Ericsson, M Fournier, SB Seo
Available at SSRN 3885357, 2024
3*2024
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
32023
CDS-Implied Risk of Economic Catastrophes
SB Seo
Work. Pap., Wharton Sch., Univ. Pa, 2016
3*2016
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, 2023
22023
Options on Interbank Rates and Implied Disaster Risk
H Doshi, HJ Kim, SB Seo
FEDS Working Paper, 2023
2023
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