Hedging of a credit default swaption in the CIR default intensity model
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DOI: 10.1007/s00780-010-0143-7
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References listed on IDEAS
- Marek Rutkowski & Anthony Armstrong, 2009. "Valuation Of Credit Default Swaptions And Credit Default Index Swaptions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1027-1053.
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Cited by:
- 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.
- Mohamed Ben Alaya & Ahmed Kebaier & Djibril Sarr, 2024. "Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity," Papers 2409.09179, arXiv.org.
- Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
- Rafael Mendoza-Arriaga & Vadim Linetsky, 2014. "Time-changed CIR default intensities with two-sided mean-reverting jumps," Papers 1403.5402, arXiv.org.
- Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
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More about this item
Keywords
CDS swaption; CIR intensity; Hedging; 60G35; 91B26; G13;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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