Hedging of a credit default swaption in the CIR default intensity model
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References listed on IDEAS
- Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2006. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5956.
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ICMA Centre Discussion Papers in Finance
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Amelie Hüttner & Matthias Scherer, 2016. "A note on the valuation of CDS options and extension risk in a structural model with jumps," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-16, June.
- Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jan 2018.
More about this item
KeywordsCDS swaption; CIR intensity; Hedging; 60G35; 91B26; G13;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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