Basket Credit Default swaption

jimjam · October 5th, 2007, 1:54 pm

Hi was wandering how to go about pricing an all-to-default swaption and multiple reference entities - any pointers would be appreciated! I am struggling to find any good info- cheers

jimjam · October 26th, 2007, 12:23 pm

Anyone? I would appreciated any guidance on this

Wibble · October 26th, 2007, 1:05 pm

perhaps if you could clarify the structure a bit?

mikeoz · October 26th, 2007, 1:16 pm

I know of nothing that exactly matches, but here are some references that might help.John Hull and Alan White "Forwards and European Options on CDO Tranches"Chapter 18 in A. Bomfim "Understanding Credit Derivatives..."Chapter 10 in J. Felsenheimer "Active Credit Portolio Management"