BRIGO, DAMIANO; COUSOT, LAURENT - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 315-339
In this paper we investigate implied volatility patterns in the Shifted Square Root Diffusion (SSRD) model as functions of the model parameters. We begin by recalling the Credit Default Swap (CDS) options market model that is consistent with a market Black-like formula, thus introducing a notion...