The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 3, 2006, Pages 315-339

  Brigo, Damiano ^a   Cousot, Laurent ^b  

^a Credit Models Banco IMI   (Italy)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Calibration; Credit default swap; Credit spread volatility; Monte Carlo simulation; Option pricing; Stochastic intensity model

Indexed keywords

EID: 33646739570     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003597     Document Type: Article

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