An implied volatility model determined by credit default swaps

DOI10.1142/S0219024912500495zbMATH Open1282.91238OpenAlexW2130816021MaRDI QIDQ4902545FDOQ4902545

Authors: 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

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• Local volatility and the recovery rate of credit default swaps
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• Calibrating structural models: a new methodology based on stock and credit default swap data

zbMATH Keywords

calibrationfinite elementsstock optionsCDS spreadsimplied volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Stochastic models in economics (91B70)

Cites Work

• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Simplex Method for Function Minimization
• A novel pricing method for European options based on Fourier-cosine series expansions
• Stochastic differential equations. An introduction with applications.
• Stochastic calculus for finance. II: Continuous-time models.
• Interest rate models -- theory and practice. With smile, inflation and credit
• Operator splitting methods for pricing American options under stochastic volatility
• Multigrid for American option pricing with stochastic volatility
• Penalty methods for American options with stochastic volatility
• Efficient numerical methods for pricing American options under stochastic volatility
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Tools for computational finance
• Pricing American stock options by linear programming

Cited In (7)

• Volatility information difference between CDS, options, and the cross section of options returns
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
• Local volatility and the recovery rate of credit default swaps
• Using equity options to imply credit information
• Implications of implicit credit spread volatilities on interest rate modelling
• Local volatility enhanced by a jump to default
• Calibrating structural models: a new methodology based on stock and credit default swap data

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