Before revision:  Using the principles of smooth and continuous fit , we determine the buyer's and seller's equilibrium exercise strategies , which are of threshold type . Numerical examples are provided to illustrate the impacts of default risk and  contractual features on the fair premium and exercise strategies .
After revision:  Using the principles of smooth and continuous fit , we determine the buyer's and seller's equilibrium exercise strategies , which are of threshold type . Numerical examples are provided to illustrate the impacts of default risk and contractual features on the players' exercise timing at equilibrium .