随机负债情形的信用违约互换定价  

The Pricing of Credit Default Swap under Stochastic Liabilities

作　　者：欧阳异能[1,2] 徐云[1] 

机构地区：[1]新疆大学数学与系统科学学院,乌鲁木齐830046 [2]石河子大学师范学院数学系,新疆石河子832003

出　　处：《工程数学学报》2010年第4期593-598,共6页Chinese Journal of Engineering Mathematics

基　　金：新疆维吾尔自治区高校科研计划重点项目(XJEDU2008I09)~~

摘　　要：信用违约互换是一种重要的信用衍生品。本文在信用违约互换基本原理的基础上,根据信用违约互换的现金流对信用违约互换的价值进行分析,并假定参考资产随机负债,采用结构化模型框架下无套利原理的定价方法,得到信用违约互换定价的基本模型。利用具有漂移的Brown运动的最小值分布求得违约概率密度函数,最终给出了信用违约互换的定价公式。The credit default swap is an important credit derivative. Based on the basic principle of the credit default swap, this paper analyses the value of a credit default swap in terms of its cash flow. Furthermore, the arbitrage-free principle and structural approaches are used to price the credit default swap under stochastic liabilities, and we get a basic model of the swap. The function of default probability density is obtained by the distribution of the minimum of a Brown motion with a drift, and then we obtain the pricing formula to a credit default swap by above results.

关 键 词：信用违约互换 违约概率密度 鞅方法 反射原理 

分 类 号：O29[理学—应用数学] F830[理学—数学]