The valuation of credit default swap options

Journal of Derivatives

Volumn 10, Issue 3, 2003, Pages 40-50

  Hull, John ^a   White, Alan ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34249784931     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2003.319200     Document Type: Article

References (5)

1. Hull, J.C. Options, Futures, and Other Derivatives. Englewood Cliffs, NJ: Prentice-Hall, 2003.
2. Hull, J.C., M. Predescu-Vasvari, and A. White. "The Relationship Between Credit Default Swap Spreads, Bond Yields and Credit Rating Announcements." Working paper, University of Toronto, 2002.
3. Hull, J.C. and A. White. "Valuing Credit Default Swaps I: No Counterparty Default Risk." The Journal of Derivatives, Vol. 8, No. 1 (Fall 2000), pp. 29-40.
4. Jamshidian, F. "LIBOR and Swap Market Models and Measures." Finance and Stochastics, 1, 4 (1997), pp. 293-330.
5. Schonbucher, P.J. "A LIBOR Market Model with Default Risk." Working paper, University of Bonn, Department of Statistics, 2000.