| Valuing Credit Default Swap under a double exponential jump di?usion model简 |
| |
| 作者姓名： | YANG Rui-cheng PANG Mao-xiu JIN Zhuang |
| |
| 基金项目： | Supported by The National Natural Science Foundation of China （71261015）, Humanity and Social Science Youth Foundation of Education Ministry in China （10YJC630334）, Program for Innovative Research Team in Universities of Inner Mongolia Autonomous Region. |
| |
| 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.
|
| 关 键 词： | 违约 信用 扩散模型 跳跃 Stehfest算法 几何布朗运动 扩散过程 随机过程 |
Valuing Credit Default Swap under a double exponential jump diffusion model |
| |
| YANG Rui-cheng PANG Mao-xiu JIN Zhuang.Valuing Credit Default Swap under a double exponential jump diffusion model[J].Applied Mathematics A Journal of Chinese Universities,2014,29(1):36-43. |
| |
| Authors: | Rui-cheng Yang Mao-xiu Pang Zhuang Jin |
| |
| Institution: | 1. Finance School, Inner Mongolia University of Finance and Economics, Hohhot, 010070, China
2. School of Mathematics and Information, Ludong University, Yantai, 264000, China
|
| |
| Abstract: | 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. |
| |
| Keywords: | Credit Default Swap Brownian motion double exponential jump diffusion model |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ |
