Pricing Credit Spread Option with Counterparty Risk

摘要：

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.

关键词： credit spread option counterparty risk default dependence interacting intensities

作者: Chen Yang Qunfang Bao Shenghong Li Guimei Liu

作者单位: Department of Mathematics Zhejiang University Hangzhou, 310027, China Department of Statistics Zhejiang University City College Hangzhou, 310015, China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 90-94

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）