Local volatility and the recovery rate of credit default swaps

Jeroen Jansen, Sanjiv R. Das, Frank J. Fabozzi

Year of publication:	July 2018
Authors:	Jansen, Jeroen ; Das, Sanjiv R. ; Fabozzi, Frank J.
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 92.2018, p. 1-29
Subject:	Credit default swap \| Recovery rates \| Implied tree models \| Implied volatility \| Local volatility \| Option pricing \| Volatilität \| Volatility \| Kreditderivat \| Credit derivative \| Optionspreistheorie \| Option pricing theory \| Kreditrisiko \| Credit risk \| Insolvenz \| Insolvency

Online Resource

Check full text access |

More access options

Check Google Scholar

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/10011974230

A service of the