User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Hüttner, A.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
A note on the valuation of CDS options and extension risk in a structural model with jumps 
Abstract:
We consider the valuation of single name CDS options and related optionalities, especially extension risk, in the structural default model introduced by Chen, Kou (2009). This jump-diffusion based model is able to generate realistic dynamics for CDS spreads and has decent calibration performance. Due to the European character of the considered options, they can be valued with an efficient Monte Carlo algorithm based on Brownian bridges, adapted from Ruf, Scherer (2011). In contrast to the intens...    »
 
Keywords:
CDS options; extension risk; structural model with jumps 
Journal title:
Journal of Financial Engineering 
Journal listet in FT50 ranking:
nein 
Year:
2016 
Journal volume:
03 
Journal issue:
02 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Mission statement: