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Hull et al., 2007 - Google Patents

Forwards and European options on CDO tranches

Hull et al., 2007

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Document ID
59577748489198690
Author
Hull J
White A
Publication year
Publication venue
JL Rotman School of Management, Toronto

External Links

Snippet

Now that the market for cash and synthetic CDOs is well established, there is increased interest in trading forward contracts and options on CDO tranches. This article develops models for valuing these instruments. The model for valuing European options on CDO …
Continue reading at www.researchgate.net (PDF) (other versions)

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