广义跳扩散模型下抵押贷款信用违约互换的定价

Pricing of loan-only credit default swap contracts under generalized jump-diffusion model

为了考虑宏观经济状态对抵押贷款信用违约互换合约定价的影响,将二维跳扩散模型推广至有马尔可夫机制转换的情形,利用鞅方法得到强度过程的拉普拉斯变换。在此基础上,推导出抵押贷款信用违约互换合约的显式定价公式,并做了数值分析以说明理论结果。

In order to consider the influence of macroeconomic states on the pricing of loan-only credit default swap contracts,this paper extended the two-dimensional jump-diffusion model to the case with Markov regime switching.The joint Laplace transform of the default intensity process and the cancellation intensity process was obtained by the martingale method.On this basis,an explicit pricing expression of the loan-only credit default swap contracts was derived and a numerical analysis was made to illustrate the theoretical results.