Valuing credit derivatives in a jump-diffusion model

被引：11

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

页码：627 / 632

页数：6

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