Title:

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

Authors:

José da Fonseca (Auckland U Technology)
Katrin Gottschalk (Auckland U Technology)

Journal:

Journal of Futures Markets

Year:

2013

Volume:

33

Pages:

494-517

JEL code:

G13 - Contingent Pricing; Futures Pricing