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Xin-Ci Lin

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#diffusion models Open access Sep 2026

Dynamic Pricing of Credit Derivatives under Market Uncertainty: A Default-Risk Adjustment Model

The static pricing model of credit default swaps (CDS) may not reflect the actual changes in the market due to capital flows and geopolitical conflicts at present, and thus will have a large valuation error. This paper extends a simplified reduced-form model by adding a Knightian uncertainty index to a jump-diffusion m...

Xin-Ci Lin · 0 citations

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