Valuing credit derivatives in a jump-diffusion model

被引：10
|
作者：
Hu, Xinhua [1 ]
Ye, Zhongxing [1 ]
机构：
[1] Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2007年 / 190卷 / 01期
基金：
中国国家自然科学基金;
关键词：
credit derivatives; jump-diffusion model; Gaver-Stehfest algorithm;
D O I：
10.1016/j.amc.2007.01.088
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper presents a simple framework for valuing single-name credit derivatives in jump-diffusion models. The Gaver-Stehfest algorithm is used to calculate the CDS spread when the value of the reference entity is assumed to the double exponential jump-diffusion process. We model directly the credit spread using a geometric Ornstein-Uhlenbeck process with a jump and derive the pricing formula for credit spread option. (c) 2007 Elsevier Inc. All rights reserved.
引用
收藏
页码：627 / 632
页数：6
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