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Author: | Schönbucher, P. |
Title: | A measure of survival |
Journal: | Risk
2004 : AUG, VOL. 17:8, p. 79-85 |
Index terms: | credit derivative securities finance financial markets investments swaps market |
Language: | eng |
Abstract: | This article takes a looks at the plain vanilla credit default swap markets (CDS), derivatives and options in particular on CDSs. According to the writer, these derivatives are increasing in volume. The article shows how CDS options can be priced using defaultable assets as numeraires. |
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