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

Autor:	Xie, Bin, Li, Weiping
Rok vydání:	2021
Předmět:	Quantitative Finance - Mathematical Finance Mathematics - Probability 60G55 60G65
Druh dokumentu:	Working Paper
Popis:	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. Comment: 9 Pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2111.13334 Zobrazit plný text záznamu View this record from Arxiv