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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hüttner, A.; Scherer, M. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
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...    »
 
Stichworte:
CDS options; extension risk; structural model with jumps 
Zeitschriftentitel:
Journal of Financial Engineering 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2016 
Band / Volume:
03 
Heft / Issue:
02 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Leitbild: