Dynamic Hedging of Credit Derivative: a First Approach∗
نویسندگان
چکیده
In this note, we show on a stylised example how one can hedge Basket Credit Derivatives using a related family of liquid hedging products. Using simple Non-Arbitrage arguments and results from stochastic calculus, we prove that one can build a self-financing portfolio written on Credit Default Swaps which replicates the payoff of a general Credit Derivative.
منابع مشابه
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