Valuing credit default swap under a double exponential jump diffusion model

DOI10.1007/s11766-014-3074-9zbMath1313.91182OpenAlexW2050950632MaRDI QIDQ462273

Ruicheng Yang, Maoxiu Pang, Zhuang Jin

Publication date: 3 November 2014

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-014-3074-9

zbMATH Keywords

Brownian motioncredit default swapdouble exponential jump-diffusion model

Mathematics Subject Classification ID

Related Items (1)

Interest rate swap pricing with default risk under variance gamma process

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Valuing credit derivatives in a jump-diffusion model
• First passage times of a jump diffusion process

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