Hedging of a credit default swaption in the CIR default intensity model

Tomasz Bielecki (), Monique Jeanblanc () and Marek Rutkowski ()

Finance and Stochastics, 2011, vol. 15, issue 3, 572 pages

Keywords: CDS swaption; CIR intensity; Hedging; 60G35; 91B26; G13 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00780-010-0143-7

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