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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

The Valuation of Credit Default Swap Based on the Continous Diffusion Process Under the Condition of Random Liabilities
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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. 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.
出处 《鲁东大学学报(自然科学版)》 2012年第1期4-8,共5页 Journal of Ludong University:Natural Science Edition
基金 山东省自然基金(2009ZRB019AV) 教育部人文社会科学研究项目(10YJC630334)
关键词 信用违约互换 违约概率 风险中性定价方法 Fortet方法 credit default swap default probability risk neutral pricing method Fortet method
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参考文献8

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二级参考文献7

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