Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model
New techniques are introduced for pricing nth to default credit swaps in the Li model. We demonstrate the use of importance sampling to greatly increase the rate of convergence of Monte Carlo simulations for pricing. This technique is combined with the likelihood ratio and pathwise methods for computing the sensitivities of these products to changes in the hazard rates of the underlying obligors. In particular the extension of the pathwise method has wider significance in that it is shown that the method can be used even when the pay-off is discontinuous.
Year of publication: |
2004
|
---|---|
Authors: | Joshi, Mark ; Kainth, Dherminder |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 4.2004, 3, p. 266-275
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo, (2004)
-
Rebonato, Riccardo, (2022)
-
Optimal Climate Policy with Negative Emissions
Rebonato, Riccardo, (2023)
- More ...