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- Dr. Jan-Frederik MaiPhone: +49 89 589275-131jan-frederik.mai@xaia.com
Credit Derivatives

10.03.2017

Index CDS options: a survey of pricing approaches

This is a survey of methods proposed in the literature and the marketplace regarding the pricing of index CDS options. The challenges of the topic are highlighted, and the heavy assumptions on which common formulas rely are pointed out.

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