Stock options and credit default swaps: A joint framework for valuation and estimation

Journal of Financial Econometrics

Volumn 8, Issue 4, 2009, Pages 409-449

  Carr, Peter ^a   Wu, Liuren ^b  

^a NEW YORK UNIVERSITY   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Credit default swaps; Default arrival rate; Option pricing; Return variance dynamics; Stock options; Time changed L vy processes

Indexed keywords

EID: 77956275710     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbp010     Document Type: Article

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