摘要
We study the smooth-pasting property for a class of conditional expectations with reflected Lévy process as underlying state process.A relationship between local times and regulators for the doubly reflected Lévy process is established.As applications,we derive the analytic pricing formula for a zero-coupon defaultable bond when the default intensity(resp.the stochastic loss rate)is modeled as one-sided(resp.double-sided)reflected Lévy processes.Finally,some numerical illustrations are provided.
We study the smooth-pasting property for a class of conditional expectations with reflected Levy process as underlying state process. A relationship between local times and regulators for the doubly reflected Levy process is established. As applications, we derive the analytic pricing formula for a zero-coupon defaultable bond when the default intensity （resp. the stochastic loss rate） is modeled as one-sided （resp. double-sided） reflected Levy processes. Finally, some numerical illustrations are provided.
基金
supported by National Natural Science Foundation of China(GrantNos.11001213,71201074 and 70932003)
NCET-12-0914
the Fundamental Research Funds for the Central Universities(Grant No.K5051370001)
关键词
LÉVY过程
糊化特性
信用风险
平滑
应用
建模
LEVY过程
条件期望
smooth-pasting property, reflected Levy process, local time, credit risk, default intensity, stochas-tic loss rate, defaultable bond
