Title of article
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
Author/Authors
W. Peter Carr، نويسنده , , Liuren Wu، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
21
From page
2383
To page
2403
Keywords
Sovereign credit default swaps , Default arrival rate , Term structure of credit spread , Return variance dynamics , option pricing , Time-changed Le´vy processes , Currency options
Journal title
Journal of Banking and Finance
Serial Year
2007
Journal title
Journal of Banking and Finance
Record number
194085
Link To Document