Endogenous trading in credit default swaps

DOI10.1007/S10203-015-0168-7zbMath1398.91571OpenAlexW3122776653MaRDI QIDQ272211

Selim Gökay, Marc Chesney, Delia Coculescu

Publication date: 20 April 2016

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/124434/7/EndCDS_150316.pdf

zbMATH Keywords

real optionsmoral hazarddefault riskCDSLongstaff-Schwarz algorithmoptimal stopping problemsswitching option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Unnamed Item
• An analysis of a least squares regression method for American option pricing
• Credit default swaps and risk-shifting
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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