Local volatility and the recovery rate of credit default swaps

Journal of Economic Dynamics and Control, Volume 92, July 2018, Pages 1-29

Author(s):

Jeroen Jansen

EDHEC Business School

Sanjiv R. Das

Santa Clara University, Leavey School of Business

Frank J. Fabozzi

EDHEC Business School

Type: Academic publication
Date: le 01/07/2018
Research Cluster : Finance
Source : Journal of Economic Dynamics and Control

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