An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation of options on the underlying survival probabilities, where the strike for each option is adjusted.

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Year of publication:	2007-11
Authors:	Brigo, Damiano ; El-Bachir, Naoufel
Institutions:	Henley Business School, University of Reading
Subject:	Credit derivatives \| Credit Default Swap \| Credit Default Swaption \| Jump-diffusion \| Stochastic intensity \| Doubly stochastic poisson process \| Cox process \| Semi-Analytic formula \| Numerical integration

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Extent:	application/pdf
Series:	ICMA Centre Discussion Papers in Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number icma-dp2007-14 18 pages
Classification:	C63 - Computational Techniques ; C65 - Miscellaneous Mathematical Tools ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008542369