A note on the valuation of CDS options and extension risk in a structural model with jumps

Amelie Hüttner and Matthias Scherer

Year of publication:	June 2016
Authors:	Hüttner, Amelie ; Scherer, Matthias
Published in:	International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 2, p. 1-16
Subject:	CDS options \| extension risk \| structural model with jumps \| Kreditderivat \| Credit derivative \| Optionspreistheorie \| Option pricing theory \| Kreditrisiko \| Credit risk \| Volatilität \| Volatility

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