Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4635313 | Applied Mathematics and Computation | 2007 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Xinhua Hu, Zhongxing Ye,