BSFTDWithMultiJump Model and Pricing of Quanto FTD with FX Devaluation Risk
We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or all credit names. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of first to default and where the jump size depends on credit name reference. We present the model, the calibration algorithm, and the Quanto FTD pricing. This model is an extension of the model BSWithJump for pricing Quanto CDS with FX devaluation risk.
|Date of creation:||Oct 2009|
|Date of revision:|
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Web page: https://mpra.ub.uni-muenchen.de
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