Study on Single-name CDS Pricing with Incomplete Information under Jump-diffusion Model

Credit Default Swap(CDS) is one of important instruments in credit risk management in the world. After the Suhprime Mortgage Crisis, the market share of the single-name CDS keeps growing; meanwhile, unpredicted event and incomplete information bring a big challenge to CDS market. The paper establishes the CDS pricing model under jump-diffusion model with stochastic under default boundary and incomplete information. The paper performs Monte Carlo simulations to compare the difference between this model and the model of the classic literature. The analysis shows that the model has many good properties and can be a reference for CDS pricing and regulation in China.