第n个违约互换的解析定价算法  

An Analytic Approach of Valuing nth-to-default Swaps

作　　者：马岩[1] 陈典发[2] 

机构地区：[1]南开大学数学科学学院,天津300071 [2]南开大学经济学院,天津300071

出　　处：《南开大学学报（自然科学版）》2009年第5期38-43,共6页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：研究了第n个信用违约互换的定价问题.在参考信用体违约相关但本金不同的最一般情形下,得到了第n个违约互换权益金的解析表达式,避免了以往信用衍生产品定价方法对Monte Carlo模拟的依赖.数值实验证明了此方法的可行性和高效性.The valuation of an nth-to-default swap is studied. In the most general situation where defaults of reference credits are correlated but principles and recovery rates are different across credits, it presents an analytic expression for the spread of an nth-to-default swap. This approach dose not involve Monte Carlo simulation which is commonly used in pricing credit derivatives. Numerical examples prove the feasibility and efficiency of the method.

关 键 词：第n个信用违约互换的定价 因子copula 算子 解析表达式 

分 类 号：O211.63[理学—概率论与数理统计]