IEEE - Institute of Electrical and Electronics Engineers, Inc. - Pricing credit spread option with counterparty risk

2010 International Conference on Computer Application and System Modeling (ICCASM 2010)

Author(s): Chen Yang ; Qunfang Bao ; Shenghong Li ; Guimei Liu
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 October 2010
Conference Location: Taiyuan, China
Conference Date: 22 October 2010
Volume: 10
ISBN (Electronic): 978-1-4244-7237-6
ISBN (Paper): 978-1-4244-7235-2
DOI: 10.1109/ICCASM.2010.5622881
Regular:

In this paper, we have developed a pricing model for credit spread options with the existence of the counterparty default risk. The default dependence is modeled in the interacting intensities... View More

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