AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL

被引：23

作者：

Brigo, Damiano ^{[1
]}

El-Bachir, Naoufel ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England

来源：

MATHEMATICAL FINANCE | 2010年 / 20卷 / 03期

关键词：

credit derivatives; credit default swap; credit default swaption; jump-diffusion; stochastic intensity; doubly stochastic Poisson process; Cox process; semi-analytic formula; numerical integration; VALUATION;

D O I：

10.1111/j.1467-9965.2010.00401.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure and a few default swaptions, to price and hedge other credit derivatives consistently. We show with numerical experiments that the model implies plausible volatility smiles.

引用

页码：365 / 382

页数：18

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