Local volatility and the recovery rate of credit default swaps
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DOI: 10.1016/j.jedc.2018.04.002
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- Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
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More about this item
Keywords
Credit default swap; Recovery rates; Implied tree models; Implied volatility; Local volatility; Option pricing;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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