The Parameter Sensitivities of a Jump-diffusion Process in Basic Credit Risk Analysis

Bin Xie and Weiping Li

Papers from arXiv.org

Abstract: We detect the parameter sensitivities of bond pricing which is driven by a Brownian motion and a compound Poisson process as the discontinuous case in credit risk research. The strict mathematical deductions are given theoretically due to the explicit call price formula. Furthermore, we illustrate Matlab simulation to verify these conclusions.

Date: 2021-11
New Economics Papers: this item is included in nep-rmg
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