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- Credit_default_option abstract "In finance, a default option, credit default swaption or credit default option is an option to buy protection (payer option) or sell protection (receiver option) as a credit default swap on a specific reference credit with a specific maturity. The option is usually European, exercisable only at one date in the future at a specific strike price defined as a coupon on the credit default swap.Credit default options on single credits are extinguished upon default without any cashflows, other than the upfront premium paid by the buyer of the option, of course. Therefore, buying a payer option is not a good protection against an actual default, only against a rise in the credit spread. This may explain why such options are very illiquid. They may also feature quite high implied volatilities, as shown by Damiano Brigo (2005). However options on credit indices such as iTraxx and CDX include any defaulted entities in the intrinsic value of the option when exercised. This is expressed at times by stating that the options offer \"front-end protection\". Proper inclusion of front end protection complicates index options valuation, see for example Claus M. Pedersen (2003), or Brigo and Morini (2008).".
- Credit_default_option wikiPageExternalLink program.php.
- Credit_default_option wikiPageExternalLink abstract=1080064.
- Credit_default_option wikiPageExternalLink abstract=508922.
- Credit_default_option wikiPageExternalLink HullWhiteCDSoptionspaper.pdf.
- Credit_default_option wikiPageID "310010".
- Credit_default_option wikiPageLength "2463".
- Credit_default_option wikiPageOutDegree "15".
- Credit_default_option wikiPageRevisionID "704227160".
- Credit_default_option wikiPageWikiLink Category:Options_(finance).
- Credit_default_option wikiPageWikiLink Claus_M._Pedersen.
- Credit_default_option wikiPageWikiLink Credit_default_swap.
- Credit_default_option wikiPageWikiLink Credit_default_swap_index.
- Credit_default_option wikiPageWikiLink Credit_derivative.
- Credit_default_option wikiPageWikiLink Damiano_Brigo.
- Credit_default_option wikiPageWikiLink Finance.
- Credit_default_option wikiPageWikiLink ITraxx.
- Credit_default_option wikiPageWikiLink Option_(finance).
- Credit_default_option wikiPageWikiLink Option_style.
- Credit_default_option wikiPageWikiLink Social_Science_Research_Network.
- Credit_default_option wikiPageWikiLink Strike_price.
- Credit_default_option wikiPageWikiLinkText "Credit default option".
- Credit_default_option wikiPageUsesTemplate Template:Cite_conference.
- Credit_default_option wikiPageUsesTemplate Template:Cite_journal.
- Credit_default_option wikiPageUsesTemplate Template:Econ-stub.
- Credit_default_option wikiPageUsesTemplate Template:Financial_derivatives.
- Credit_default_option subject Category:Options_(finance).
- Credit_default_option hypernym Option.
- Credit_default_option type Automobile.
- Credit_default_option comment "In finance, a default option, credit default swaption or credit default option is an option to buy protection (payer option) or sell protection (receiver option) as a credit default swap on a specific reference credit with a specific maturity.".
- Credit_default_option label "Credit default option".
- Credit_default_option sameAs Q5183771.
- Credit_default_option sameAs m.01t1r7.
- Credit_default_option sameAs Q5183771.
- Credit_default_option wasDerivedFrom Credit_default_option?oldid=704227160.
- Credit_default_option isPrimaryTopicOf Credit_default_option.