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The information content of option-implied volatility for credit default swap valuation

Charles Cao, Fan Yu, Zhaodong Zhong
Year2010
VenueJournal of Financial Markets
Typearticle
Citations234
DOI10.1016/j.finmar.2010.01.002
OpenAlexW3125328842

Topics

Credit Risk and Financial RegulationsVariance swapVolatility swapVolatility (finance)Implied volatilityVolatility smile