Published November 28, 2022
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Credit Default Swap Option Valuation
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Description
The European credit default swap option (CDSO) valuation model is employed to price an option that grants its holder the right, but not the obligation, to enter into a Credit Default Swap (CDS) at some future point in time. The premium to be paid on this forward-start CDS is fixed in advance at some strike level. If the reference entity should default before the forward-start date, the contract is in null and no payments are made.
Notes
https://ia801400.us.archive.org/6/items/gic-pooling/GicPooling.pdf
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CDSO.pdf
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