Valuing credit default swap under a double exponential jump diffusion model

DOI10.1007/S11766-014-3074-9MaRDI QIDQ462273zbMATH OpenOpenAlexFDO

Authors Rui-cheng Yang, Mao-xiu Pang, Zhuang Jin

Publication date 3 November 2014

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-014-3074-9

zbMATH Keywords

Brownian motioncredit default swapdouble exponential jump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

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Cites work

• A jump-diffusion model for option pricing
• First passage times of a jump diffusion process
• Valuing credit derivatives in a jump-diffusion model

Cited in

(9)

• Default risk for listed companies in double exponential jump diffusion process
• Enhancing credit default swap valuation with meshfree methods
• A counterparty valuation adjustment calculation model of multi-counterparties credit default swap
• Interest rate swap pricing with default risk under variance gamma process
• Jump-diffusion CIR model and its applications in credit risk
• The research of the short term price of a credit default swap in a jump diffusion model with two-sided exponentially distributed jump
• scientific article; zbMATH DE number 7699471 (Why is no real title available?)
• Valuing credit derivatives in a jump-diffusion model
• Valuation of credit default swap

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