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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Hüttner, A.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Financial Engineering
Journal listet in FT50 ranking:
nein
Year:
2016
Journal volume:
03
Journal issue:
02
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1142/S2424786316500110
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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