Market implied volatilities for defaultable bonds
Year of publication: |
2019
|
---|---|
Authors: | Russo, Vincenzo ; Giacometti, Rosella ; Fabozzi, Frank J. |
Published in: |
Annals of operations research ; volume 275, numbers 2 (April 2019). - New York, NY, USA : Springer. - 2019, p. 669-683
|
Subject: | Volatilität | Volatility | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk |
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