Valuing Credit Default Swap under a double exponential jump diffusion model

被引：0

作者：

YANG Rui-cheng ^{[1
]}

PANG Mao-xiu ^{[2
]}

JIN Zhuang ^{[1
]}

机构：

[1] Finance School,Inner Mongolia University of Finance and Economics

[2] School of Mathematics and Information,Ludong University

来源：

Applied Mathematics:A Journal of Chinese Universities | 2014年 / 01期

基金：

中国国家自然科学基金;

关键词：

Credit Default Swap; Brownian motion; double exponential jump diffusion model;

D O I：

暂无

中图分类号：

F830.9 [金融市场]; F224 [经济数学方法];

学科分类号：

020204 ; 0701 ; 070104 ; 1201 ;

摘要：

This paper discusses the valuation of the Credit Default Swap based on a jump market,in which the asset price of a firm follows a double exponential jump diffusion process,the value of the debt is driven by a geometric Brownian motion,and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory,we give the default probability of the first passage time,and more,derive the price of the Credit Default Swap.

引用

页码：36 / 43

页数：8

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