Valuing Credit Default Swap under a double exponential jump diffusion model

摘要

This paper discusses the valuation of the Credit Default Swap based on a jump market,in which the asset price of a firm follows a double exponential jump diffusion process,the value of the debt is driven by a geometric Brownian motion,and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory,we give the default probability of the first passage time,and more,derive the price of the Credit Default Swap.