The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis-Reference-Cited by-同舟云学术

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The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis

Published:2013-02-22 Issue:6 Volume:33 Page:518-554
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Kim Tong Suk¹,Park Yuen Jung²,Noh Jaesun³

Affiliation:

1. Tong Suk Kim is at the Graduate School of Finance and Accounting; Korea Advanced Institute of Science and Technology; Dongdaemoon-gu, Seoul; Korea

2. Yuen Jung Park is at theDepartment of Finance; Hallym University; Gangwon-Do; Korea

3. Jaesun Noh is at the Canadian Imperial Bank of Commerce; Toronto, Ontario; Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21595/fullpdf

Reference32 articles.

1. Insider trading in credit derivatives;Acharya;Journal of Financial Economics,2007

2. The credit spread puzzle;Amato;BIS Quarterly Review,2003

3. Design and valuation of debt contracts;Anderson;Review of Financial Studies,1996

4. Baba , Y. Engle , R. F. Kraft , D. Kenneth , F. Kroner , K. F. 1989

5. Berndt , A. Ostrovnaya , A. 2008

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