Fujii, Masaaki; Takahashi, Akihiko - Center for Advanced Research in Finance, Faculty of … - 2012
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the...