A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Year of publication: |
2013
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Authors: | Fonseca, José da ; Gottschalk, Katrin |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 33.2013, 6, p. 494-517
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Subject: | Volatilität | Volatility | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Derivat | Derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory |
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