基于高斯随机场的信用风险定价

The Pricing of Credit Risk on the Gaussian Random Field

信用风险定价模型主要研究信用风险的期限结构,并在此基础上讨论信用风险及其衍生物的定价。本文的信用风险定价模型是建立在高斯随机场基础之上的无套利模型。在折现的债券价格在风险中性测度下是鞅的前提下,通过测度变换,使用等价鞅测度对可违约期权(违约看跌及看涨期权)做出显式定价。

Credit risk model mainly studies the term structure of credit risk,on which we establish the formulas of one and its derivatives. This paper proposes a simple arbitrage-free model for the pricing of the credit risk based on the Gaussian random field. By the way of the measure’s change,on the premise of that the discounted bond price is martingale based on the neutral measure,we deduce the explicit formulas of the creditable options,including the put and call,by using the equivalent martingale measure.