DocumentCode
2868778
Title
Pricing credit spread option with counterparty risk
Author
Chen Yang ; Qunfang Bao ; Shenghong Li ; Guimei Liu
Author_Institution
Dept. of Math., Zhejiang Univ., Hangzhou, China
Volume
10
fYear
2010
fDate
22-24 Oct. 2010
Abstract
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 framework, and the correlation between default and the interest rate is considered. Semi-analytic pricing formulas for European credit spread put options with counterparty risk are derived. The numerical analysis shows that the counterparty default risk has a considerable influence on the value of a credit spread option.
Keywords
numerical analysis; risk management; share prices; European credit spread; counterparty default risk; numerical analysis; pricing credit spread option; semi analytic pricing formula; Indium tin oxide; Counterparty Risk; Credit Spread Option; Default Dependence; Interacting Intensities;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Application and System Modeling (ICCASM), 2010 International Conference on
Conference_Location
Taiyuan
Print_ISBN
978-1-4244-7235-2
Type
conf
DOI
10.1109/ICCASM.2010.5622881
Filename
5622881
Link To Document