Cross-hedging strategies between CDS spreads and option volatility during crises

Jose da Fonseca; Katrin Gottschalk

Year of publication:	2014
Authors:	Fonseca, José da ; Gottschalk, Katrin
Published in:	Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 49.2014, p. 386-400
Subject:	Credit default swap \| Term structure \| Implied volatility surface \| Factor decomposition \| Market linkages \| Cross-hedging \| Volatilität \| Volatility \| Kreditderivat \| Credit derivative \| Derivat \| Derivative \| Zinsstruktur \| Yield curve \| Hedging \| Optionsgeschäft \| Option trading \| Kreditrisiko \| Credit risk

Check Google Scholar |

More access options

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10010464998

A service of the