Valuation of forward-starting CDOs
نویسندگان
چکیده
A forward starting CDO is a single tranche CDO with a specified premium starting at a specified future time. Pricing and hedging forward starting CDOs has become an active research topic. We present a method for pricing a forward starting CDO by converting it to an equivalent synthetic CDO. The value of the forward starting CDO can then be computed by the well developed methods for pricing the equivalent synthetic one. We illustrate our method using the industry-standard Gaussian-factor-copula model. Numerical results demonstrate the accuracy and efficiency of our method.
منابع مشابه
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ورودعنوان ژورنال:
- Int. J. Comput. Math.
دوره 86 شماره
صفحات -
تاریخ انتشار 2009