Shieh, Shwu-Jane; Lin, Chih-Yung - In: Applied Financial Economics 21 (2011) 4, pp. 261-269
The pricing model for a First-to-Default (FtD) Credit Default Swap (CDS) with three assets is constructed with the assumptions that the default barrier is changing over time, the survival probability is log-normally distributed, and the default-free interest rate is constant. We calibrate the...