【摘 要】
：
This paper discusses the valuation of the Credit Default Swap based on a jump market,in which the asset price of a firm follows a double exponential jump diffus
【机 构】
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Finance School,Inner Mongolia University of Finance and Economics,School of Mathematics and Informat
【出 处】
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Applied Mathematics:A Journal of Chinese Universities(Series
论文部分内容阅读
This paper discusses the valuation of the Credit Default Swap based on a jump market,in which the asset price of a firm follows a double exponential jump diffusion process,the value of the debt is driven by a geometric Brownian motion,and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory,we give the default probability of the first passage time,and more,derive the price of the Credit Default Swap.
This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diffusion process, the value of the debt is driven by a geometric Brownian motion, and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory, we give the default probability of the first passage time, and more, derive the price of the Credit Default Swap.
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