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

26 Nov 2021  ·  Bin Xie, Weiping Li ·

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.

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