The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

Charles Cao; Fan Yu; Zhaodong Zhong

doi:s://www.fdic.gov/

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The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

03/21/2007
By Charles Cao ; Fan Yu ; Zhaodong Zhong
Series: Center for Financial Research Working Paper
Research Publications

[PDF-1.90 MB]

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Alternative Title:

No. 2007-08
Publisher's site:

https://www.fdic.gov/
Personal Author:

Charles Cao ; Fan Yu ; Zhaodong Zhong

Charles Cao ; Fan Yu ; Zhaodong Zhong Less -
Corporate Authors:

Federal Deposit Insurance Corporation (FDIC)
Pages in Document:

43
Series:

Center for Financial Research Working Paper
Dataset Download URL:

https://www.fdic.gov/analysis/cfr/working-papers/2007/2007-08.pdf
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PDF
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urn:sha256:aa609202d9155b053e0b209a8c76ab561ea4d4d95f737e4c01e6b8e10f6fa522
Download URL:

https://archive.fdic.gov/view/fdic/12013/fdic_12013_DS1.pdf
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The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

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