An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.

DOI10.21136/AM.2019.0313-17WikidataQ128083431 ScholiaQ128083431MaRDI QIDQ2315470

Xin-Jiang He, Wen-Ting Chen

Publication date: 5 August 2019

Published in: Applications of Mathematics (Search for Journal in Brave)

zbMATH Keywords

perturbation methodcredit default swapsfast mean-reverting volatility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION

Cites Work

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• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Stochastic calculus for finance. II: Continuous-time models.
• MEAN-REVERTING STOCHASTIC VOLATILITY
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Singular Perturbations in Option Pricing

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