Local volatility and the recovery rate of credit default swaps

Jeroen Jansen, SR Das, FJ Fabozzi

Research output: Contribution to journal › Article › Academic › peer-review

3 Citations (Scopus)

36 Downloads (Pure)

Original language	English
Pages (from-to)	1-29
Number of pages	29
Journal	Journal of Economic Dynamics and Control
Volume	92
Issue number	July 2018
DOIs	https://doi.org/10.1016/j.jedc.2018.04.002
Publication status	Published - 2018

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title = "Local volatility and the recovery rate of credit default swaps",

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AU - Das, SR

AU - Fabozzi, FJ

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