An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Damiano Brigo and Naoufel El-Bachir

Papers from arXiv.org

Abstract: We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure and a few default swaptions, to price and hedge other credit derivatives consistently. We show with numerical experiments that the model implies plausible volatility smiles.

Date: 2008-12
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Citations: View citations in EconPapers (11)

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Working Paper: An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model (2007)
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