BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

Rachid EL-Mohammadi

MPRA Paper from University Library of Munich, Germany

Abstract: We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.

Keywords: Quanto CDS; Devaluation Risk; Model with Jump; Lognormal hazard rate model; Calibration; Forward PDE; Pricing quanto survival probablity (search for similar items in EconPapers)
JEL-codes: C0 C02 C1 C6 F31 (search for similar items in EconPapers)
Date: 2009-10
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42781

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