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Default Put Protection Derivative Analytics
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Credit, Valuation
- Item Type:
- Presentation
- Tag(s):
- put production, credit derivatives, derivative valuation
- Permanent URL:
- https://doi.org/10.17613/4fbk-ms29
- Abstract:
- We present a model for pricing a credit derivative product where party A has sold default put protection on a Euro denominated bond. Specifically, upon bond issuer default, party A must pay to party B a notional amount of 10 million USD (excluding accrued interest). In exchange, party B must pay a fixed rate to party A, on a quarterly basis, also based on this notional amount.
- Notes:
- https://www.mysciencework.com/publication/download/callable-asian-option-valuation-d5c27da1/1bfde6dd69f570c757270e712d3098c3
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 weeks ago
- License:
- Attribution
- Share this:
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putprotection.pdf