Local volatility and the recovery rate of credit default...

Journal of Economic Dynamics and Control 2018 / 07 Vol. 92

Local volatility and the recovery rate of credit default swaps

Jansen, Jeroen, Das, Sanjiv R., Fabozzi, Frank J.
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Volume:
92
Language:
english
Journal:
Journal of Economic Dynamics and Control
DOI:
10.1016/j.jedc.2018.04.002
Date:
July, 2018
File:
PDF, 2.56 MB
english, 2018
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