Local volatility and the recovery rate of credit default swaps

DOI10.1016/j.jedc.2018.04.002zbMath1401.91547OpenAlexW2796669400MaRDI QIDQ1657603

Jeroen Jansen, Frank J. Fabozzi, Sanjiv Ranjan Das

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.04.002

zbMATH Keywords

option pricingimplied volatilitylocal volatilitycredit default swaprecovery ratesimplied tree models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Intertemporal defaulted bond recoveries prediction via machine learning

Cites Work

• The Pricing of Options and Corporate Liabilities
• A jump to default extended CEV model: an application of Bessel processes
• Implied recovery
• Local Volatility Enhanced by a Jump to Default
• The implied volatility smirk
• Option pricing: A simplified approach