DocumentCode
402150
Title
A simulation-based credit default swap pricing approach under jump-diffusion
Author
Joro, Taqa ; Na, Paul
Author_Institution
Sch. of Bus., Alberta Univ., Canada
Volume
1
fYear
2003
fDate
7-10 Dec. 2003
Firstpage
360
Abstract
Diffusion-based credit default swap (CDS) pricing models produce zero spreads for very short-term contracts, which contradict empirical data. We introduce a simulation-based CDS pricing approach that avoids the zero short-term spreads problem through a jump-diffusion process.
Keywords
credit transactions; digital simulation; pricing; probability; credit derivatives; diffusion-based credit default swap; jump-diffusion process; pricing models; probability; short-term contracts; simulation-based credit default swap pricing; zero short-term spreads problem; zero spreads; Contracts; Diffusion processes; Electric shock; Equations; Flexible manufacturing systems; Gaussian distribution; Indium tin oxide; Pricing;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2003. Proceedings of the 2003 Winter
Print_ISBN
0-7803-8131-9
Type
conf
DOI
10.1109/WSC.2003.1261444
Filename
1261444
Link To Document