Local volatility and the recovery rate of credit default swaps

Jeroen Jansen, SR Das, FJ Fabozzi

Research output: Contribution to journalArticleAcademicpeer-review

3 Citations (Scopus)
Original languageEnglish
Pages (from-to)1-29
Number of pages29
JournalJournal of Economic Dynamics and Control
Volume92
Issue numberJuly 2018
DOIs
Publication statusPublished - 2018

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