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