Asymptotic Analysis for One-Name Credit Derivatives
Joint Authors
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-29
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options.
We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of interest rate process.
Perturbations from the stochastic volatility are computed by using an asymptotic analysis.
We also study the sensitive properties of the defaultable bond prices and the yield curves.
American Psychological Association (APA)
Ma, Yong-Ki& Kim, Beom Jin. 2013. Asymptotic Analysis for One-Name Credit Derivatives. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-481304
Modern Language Association (MLA)
Ma, Yong-Ki& Kim, Beom Jin. Asymptotic Analysis for One-Name Credit Derivatives. Abstract and Applied Analysis No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-481304
American Medical Association (AMA)
Ma, Yong-Ki& Kim, Beom Jin. Asymptotic Analysis for One-Name Credit Derivatives. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-481304
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481304