Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model

Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model

We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations. We consider the intensity-based defaultable bond, where the volatility of the default intensity is driven by...

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Bibliographic Details
Main Authors: Beom Jin Kim, Chan Yeol Park, Yong-Ki Ma
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2014/968065
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