AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS

DOI10.1142/S0219024912500495zbMath1282.91238MaRDI QIDQ4902545

Pascal Heider

Publication date: 16 January 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500495

zbMATH Keywords

finite elements; calibration; stock options; CDS spreads; implied volatility model

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

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