The information content of OTC individual put option implied volatility for credit default swap spreads
Yuen Jung Park; Tong Suk Kim
| Year of publication: |
2012
|
|---|---|
| Authors: | Park, Yuen Jung ; Kim, Tong Suk |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 41.2012, 4, p. 491-516
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| Subject: | Credit default swap | Equity put option | Implied volatility | Predicted future volatility | Volatility risk premium | Volatilität | Volatility | Kreditderivat | Credit derivative | Optionsgeschäft | Option trading | Risikoprämie | Risk premium | Derivat | Derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Swap |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009618798