A dynamic programming approach for pricing CDS and CDS options

DOI10.1080/14697680802595619MaRDI QIDQ3182747zbMATH OpenOpenAlexFDO

Authors Hatem Ben-Ameur, Damiano Brigo, Eymen Errais

Publication date 16 October 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802595619

zbMATH Keywords

Bermudan optionsCox processcredit default swapscredit derivativesdoubly stochastic Poisson processdynamic programming

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• A dynamic programming approach for pricing options embedded in bonds
• A dynamic programming procedure for pricing American-style Asian options
• A General Formula for Valuing Defaultable Securities
• A theory of the term structure of interest rates
• Affine processes and applications in finance
• Default and information
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuation of credit default swaps and swaptions
• Valuing American options by simulation: a simple least-squares approach

Cited in

(2)

• An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
• Hedging of a credit default swaption in the CIR default intensity model

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