BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk
AbstractWe present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42781.
Date of creation: Oct 2009
Date of revision:
Quanto CDS; Devaluation Risk; Model with Jump; Lognormal hazard rate model; Calibration; Forward PDE; Pricing quanto survival probablity;
Find related papers by JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C0 - Mathematical and Quantitative Methods - - General
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.