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Credit Default Swap Option Valuation

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 28 Nov 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7373465 , 10.5281/zenodo.7373464 , 10.5281/zenodo.7831646

Credit Default Swap Option Valuation

Abstract

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.

https://ia801400.us.archive.org/6/items/gic-pooling/GicPooling.pdf

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Credit Default Swap Option Valuation

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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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