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Titel:

A note on the valuation of CDS options and extension risk in a structural model with jumps

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hüttner, A.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Financial Engineering
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Band / Volume:
03
Heft / Issue:
02
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1142/S2424786316500110
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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