AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS

DOI10.1142/S0219024912500495zbMath1282.91238OpenAlexW2130816021MaRDI QIDQ4902545

Pascal Heider

Publication date: 16 January 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500495

zbMATH Keywords

finite elementscalibrationstock optionsCDS spreadsimplied volatility model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Operator splitting methods for pricing American options under stochastic volatility
• Interest rate models -- theory and practice. With smile, inflation and credit
• Penalty methods for American options with stochastic volatility
• Stochastic calculus for finance. II: Continuous-time models.
• Pricing American Stock Options by Linear Programming
• A Theory of the Term Structure of Interest Rates
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multigrid for American option pricing with stochastic volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Efficient numerical methods for pricing American options under stochastic volatility
• A Simplex Method for Function Minimization
• Tools for computational finance
• Stochastic differential equations. An introduction with applications.

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