Asymptotic analysis for one-name credit derivatives (Q2015749)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic analysis for one-name credit derivatives |
scientific article; zbMATH DE number 6307008
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis for one-name credit derivatives |
scientific article; zbMATH DE number 6307008 |
Statements
Asymptotic analysis for one-name credit derivatives (English)
0 references
23 June 2014
0 references
Summary: We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of interest rate process. Perturbations from the stochastic volatility are computed by using an asymptotic analysis. We also study the sensitive properties of the defaultable bond prices and the yield curves.
0 references
0.7951628565788269
0 references
0.7864423990249634
0 references
0.77899169921875
0 references
0.7788174152374268
0 references
