Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 347-384
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based...
