Options On Credit Default Index Swaps Yunkang Liu and Peter J¨ackel 20th May 2005 Abstract The value of an option on a credit default index swap consists of two parts. The first one is the protection value due to potent - Option value - Document - PDFSEARCH.IO

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	Options On Credit Default Index Swaps Yunkang Liu and Peter J¨ackel 20th May 2005 Abstract The value of an option on a credit default index swap consists of two parts. The first one is the protection value due to potent Add to Reading List Document Date: 2010-10-23 08:24:06 Open Document File Size: 328,99 KB Share Result on Facebook Company JPMorgan / Cambridge University Press / Bloomberg LLP / John Wiley and Sons / NIB Capital Bank / / Country Switzerland / / Facility University of Toronto / / IndustryTerm finance / / Organization Cambridge University / Department of Mathematics / School of Management / University of Toronto / / Person Consider / / Position Prime Minister / candidate for quoting purpose / option pricing model / forward / / PublishedMedium Journal of Finance / / Technology pdf / / URL www.defaultrisk.com/pdf__files/Valuation_o_Cr_Default_Swap_ / www.rotman.utoronto / / SocialTag Options Mathematical finance Swaption Derivative Credit derivative Credit default swap Futures contract Swap Put option Financial economics

Options On Credit Default Index Swaps Yunkang Liu and Peter J¨ackel 20th May 2005 Abstract The value of an option on a credit default index swap consists of two parts. The first one is the protection value due to potentAdd to Reading List