AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL

作者：Brigo Damiano; El Bachir Naoufel^*

来源：Mathematical Finance, 2010, 20(3): 365-382.

• credit derivatives
• credit default swap
• credit default swaption
• jump-diffusion
• stochastic intensity
• doubly stochastic Poisson process
• Cox process
• semi-analytic formula
• numerical integration

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure and a few default swaptions, to price and hedge other credit derivatives consistently. We show with numerical experiments that the model implies plausible volatility smiles.

• 出版日期2010-7