most citedAn exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

5 citations · 5 across the 1 of their papers we have counts for

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q-fin.PR2008★ 5 cited

An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Damiano Brigo, Naoufel El-Bachir

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity m…