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)

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

Access to Document

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

author = "Jeroen Jansen and SR Das and FJ Fabozzi",

year = "2018",

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language = "English",

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T1 - Local volatility and the recovery rate of credit default swaps

AU - Jansen, Jeroen

AU - Das, SR

AU - Fabozzi, FJ

PY - 2018

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U2 - 10.1016/j.jedc.2018.04.002

DO - 10.1016/j.jedc.2018.04.002

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JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

IS - July 2018

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