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
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;
Conference_Titel :
Simulation Conference, 2003. Proceedings of the 2003 Winter
Print_ISBN :
0-7803-8131-9
DOI :
10.1109/WSC.2003.1261444
