Comments from Yuen Jung Park and participants at the 18th International Conference on Computing in Economics and Finance (CEF 2012) in Prague and the 8th Annual Conference of the Asia-Pacific Association of Derivatives (APAD 2012) in Busan are gratefully acknowledged.
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
Article first published online: 14 FEB 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 33, Issue 6, pages 494–517, June 2013
How to Cite
Da Fonseca, J. and Gottschalk, K. (2013), A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface. J. Fut. Mark., 33: 494–517. doi: 10.1002/fut.21594
- Issue published online: 19 MAR 2013
- Article first published online: 14 FEB 2013
- Manuscript Accepted: 24 DEC 2012
- Manuscript Received: 15 DEC 2012
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