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雷达卡
摘要翻译：
以市场价值提前终止掉期的期权价值为零吗？乍一看，它是，但在存在交易对手风险的情况下，它取决于用于确定这种市场价值的标准。在两个违约交易对手之间发生ISDA项下的单一无抵押掉期交易的情况下，在预定日期提前终止掉期的额外单边选择权需要进行百慕大信用估值调整。我们给出了一个一般的定价公式，假设一个无违约的结束金额，并将其应用于一个简化的设置，具有确定性的强度和一个可选的提前终止日期，表明在交易开始时对公允价值的影响可能是不可忽略的。
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英文标题：
《Bilateral Credit Valuation Adjustment of an Optional Early Termination
Clause》
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作者：
Lorenzo Giada and Claudio Nordio
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最新提交年份：
2013
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilateral option to early terminate the swap at predefined dates requires a Bermudan credit valuation adjustment. We give a general pricing formula assuming a default-free close-out amount, and apply it in a simplified setting with deterministic intensity and one single date of optional early termination, showing that the impact on the fair value of the transaction at inception might be non negligible.
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PDF链接：
https://arxiv.org/pdf/1205.2013
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