journal6 ›› 2012, Vol. 33 ›› Issue (1): 26-31.DOI: 10.3969/j.issn.1007-2985.2012.01.008

• Mathematics • Previous Articles     Next Articles

Valuation of Credit Default Swaps in Jump Diffusion Market


  1. (1.School of Mathematics and Information,Ludong University,Yantai 264025,Shandong China;2.Equipment Institute of Sergeant Academy of Changping,Beijing 102249,China)
  • Online:2012-01-25 Published:2012-04-26

Abstract: Given the correlation between the firm value and the debt,the paper assumes that the firm value is driven by the double exponential jump diffusion process and the debt is a continuous stochastic process.By the method of the Gaver-Stehfest algorithm and the arbitrage asset pricing theory,the default probability and the price expression of credit default swaps are obtained.

Key words: credit default swaps, default probability, jump diffusion market, speculation theorems, Gaver-Stehfest algorithm

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