Modelling the bid and ask prices of illiquid CDSs

Michael B. Walker

Year of publication:	2012
Authors:	Walker, Michael B.
Published in:	International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 6, p. 1-37
Subject:	Credit defaults swaps \| CDSs \| hedging \| valuation \| incomplete markets \| Hedging \| Theorie \| Theory \| Kreditderivat \| Credit derivative \| Unvollkommener Markt \| Incomplete market \| Derivat \| Derivative \| Swap \| Kreditrisiko \| Credit risk \| Geld-Brief-Spanne \| Bid-ask spread

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