Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Jan-Frederik Mai
| Year of publication: |
2019
|
|---|---|
| Authors: | Mai, Jan-Frederik |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 6, p. 1-17
|
| Subject: | Credit default swap | negative basis | bond-CDS basis | pricing-hedging duality | arbitrage | Kreditderivat | Credit derivative | Arbitrage | Theorie | Theory | Kreditversicherung | Credit insurance | Derivat | Derivative | Kreditrisiko | Credit risk | Swap | Arbitrage Pricing | Arbitrage pricing | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500328 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153067