Open AccessThe Information Content of Option Volatility for Credit Default Swap
Author(s) -
Kim Hong Bae,
Seung-Sub Eum,
Jang Ji Kyung
Publication year - 2012
Publication title -
geumyung gonghak yeongu/geum'yung gonghag yeon'gu
Language(s) - English
Resource type - Journals
eISSN - 2713-7252
pISSN - 1738-124X
DOI - 10.35527/kfedoi.2012.11.3.007
Subject(s) - volatility (finance) , variance swap , credit default swap , volatility swap , swap (finance) , itraxx , business , implied volatility , credit derivative , credit default swap index , financial economics , actuarial science , economics , finance , credit risk , credit valuation adjustment , credit reference