Market co-movement between credit default swap curves and option volatility surfaces

Yukun Shi, Charalampos Stasinakis, Yaofei Xu, Cheng Yan

Year of publication:	2022
Authors:	Shi, Yukun ; Stasinakis, Charalampos ; Xu, Yaofei ; Yan, Cheng
Published in:	International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 82.2022, p. 1-13
Subject:	Credit default swap \| Implied volatility \| Options \| Unscented Kalman filter \| Volatilität \| Volatility \| Kreditderivat \| Credit derivative \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Optionsgeschäft \| Option trading \| Swap \| Zustandsraummodell \| State space model \| Kreditrisiko \| Credit risk

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