The information content of option-implied volatility for credit default swap valuation

Journal of Financial Markets

Volumn 13, Issue 3, 2010, Pages 321-343

  Cao, Charles ^a,b   Yu, Fan ^c   Zhong, Zhaodong ^d  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

^b China Center for Financial Research   (China)

^c CLAREMONT MCKENNA COLLEGE   (United States)

^d RUTGERS UNIVERSITY   (United States)

Author keywords

Credit default swaps; G11; G12; G14; Historical volatility; Option implied volatility; Price discovery; Volatility risk premium

Indexed keywords

EID: 77953611157     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2010.01.002     Document Type: Article

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