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2012•Economic Research GuideRequires access

Valuation for Credit Default Swap with VG Process

Li Jiahua

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Abstract

In the Pricing of credit default swap spread,Default probability is a crucial factor.Under the VG process can we obtain the credit probability density function,which is superior to the Block-scholes model.

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In the Pricing of credit default swap spread,Default probability is a crucial factor.Under the VG process can we obtain the credit probability density function,which is superior to the Block-scholes model.

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Available abstract

In the Pricing of credit default swap spread,Default probability is a crucial factor.Under the VG process can we obtain the credit probability density function,which is superior to the Block-scholes model.

Key concepts: Valuation (finance), Business, Swap (finance), Credit default swap, Actuarial science, Finance, Credit risk

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