A dynamic programming approach for pricing CDS and CDS options

DOI10.1080/14697680802595619zbMath1175.91174OpenAlexW3020957613MaRDI QIDQ3182747

Eymen Errais, Damiano Brigo, Hatem Ben-Ameur

Publication date: 16 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802595619

zbMATH Keywords

dynamic programmingcredit derivativesCox processdoubly stochastic Poisson processcredit default swapsBermudan options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Hedging of a credit default swaption in the CIR default intensity model ⋮ AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL

Cites Work

• Default and information
• A dynamic programming approach for pricing options embedded in bonds
• Affine processes and applications in finance
• Valuation of credit default swaps and swaptions
• A Theory of the Term Structure of Interest Rates
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A General Formula for Valuing Defaultable Securities
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

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