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Credit Default Swap Option Valuation
2022
Zenodo
Preserved Fulltext
The European credit default swap option (CDSO) valuation model is employed to price an option that grants its holder the right, but not the obligation, to enter into a Credit Default Swap (CDS) at some future point in time. The premium to be paid on this forward-start CDS is fixed in advance at some strike level. If the reference entity should default before the forward-start date, the contract is in null and no payments are made.
doi:10.5281/zenodo.7373464
fatcat:jpedsgtbijcojgc7u5qg6aub7m