| 随机负债条件下基于连续扩散过程的信用违约互换定价问题 |
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| 引用本文： | 庞茂秀,杨瑞成,吕强,夏冰.随机负债条件下基于连续扩散过程的信用违约互换定价问题[J].鲁东大学学报,2012(1):4-8. |
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| 作者姓名： | 庞茂秀 杨瑞成 吕强 夏冰 |
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| 作者单位： | 鲁东大学数学与信息学院;装备学院昌平士官学校 |
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| 基金项目： | 山东省自然基金(2009ZRB019AV);教育部人文社会科学研究项目(10YJC630334) |
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| 摘 要： | 在参考实体公司的资产价值和负债都服从几何布朗运动的假定下,考虑资产价值与负债的相关风险,并采用风险中性定价方法,建立了一个基于连续扩散过程的信用违约互换定价模型.利用Fortet方法估计出了违约概率,据此进一步给出了信用违约互换的定价公式.
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| 关 键 词： | 信用违约互换 违约概率 风险中性定价方法 Fortet方法 |
The Valuation of Credit Default Swap Based on the Continous Diffusion Process Under the Condition of Random Liabilities |
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| PANG Mao-xiu,YANG Rui-cheng,Lü Qiang,XIA Bing.The Valuation of Credit Default Swap Based on the Continous Diffusion Process Under the Condition of Random Liabilities[J].Ludong University Journal (Natural Science Edition),2012(1):4-8. |
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| Authors: | PANG Mao-xiu YANG Rui-cheng Lü Qiang XIA Bing |
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| Institution: | 1.School of Mathematics and Information,Ludong University,Yantai,264039,China; 2.Equipment Institute of Sergeant Academy of Changping,Beijing 102249,China) |
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| Abstract: | Given the correlation between the firm value and the debt,it is assumed that the firm value and debt of the reference entities are driven by the geometric brownian motion.Using the risk neutral pricing method,a credit default swaps model based on the continous diffusion process is constructed.With the fortet equation,the default probability and the price expression of credit default swaps are obtained. |
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| Keywords: | credit default swap default probability risk neutral pricing method Fortet method |
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