Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Changsoo Hong and Yuen Jung Park

Journal of Derivatives and Quantitative Studies: 선물연구, 2025, vol. 33, issue 2, 150-167

Abstract: Keywords: CDS, Stock option, Implied volatility, Default risk, G12, G14

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-12-2024-0048

DOI: 10.1108/JDQS-12-2024-0048

Access Statistics for this article

More articles in Journal of Derivatives and Quantitative Studies: 선물연구 from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().