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The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

Charles Cao, Zhaodong Zhong, Fan Yu
Year2009
VenueSSRN Electronic Journal
Typearticle
Citations99
DOI10.2139/ssrn.889867
OpenAlexW2170352820

Topics

Credit Risk and Financial RegulationsImplied volatilityCredit default swapVolatility swapVolatility smileVolatility (finance)