Cao, Charles; Yu, Fan; Zhong, Zhaodong - In: Journal of Financial Markets 13 (2010) 3, pp. 321-343
Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS spreads. Using a large sample of firms with both...