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Basket Credit Default swaption
Posted: October 5th, 2007, 1:54 pm
by jimjam
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
Basket Credit Default swaption
Posted: October 26th, 2007, 12:23 pm
by jimjam
Anyone? I would appreciated any guidance on this
Basket Credit Default swaption
Posted: October 26th, 2007, 1:05 pm
by Wibble
perhaps if you could clarify the structure a bit?
Basket Credit Default swaption
Posted: October 26th, 2007, 1:16 pm
by mikeoz
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"