摘要
经典信用违约互换定价模型是在标准布朗运动环境下建立的.近年实证研究已经证实用分数布朗运动来驱动资产价格更切合实际,假设公司资产价格遵循由分数布朗运动驱动的随机微分方程,建立分数布朗运动环境下信用违约互换定价模型,并得到企业违约概率和信用违约互换价格的解析表达式.
The traditional credit default swap pricing model is established in standard Brown motion setting. In recent years, some studies have found that the model driven by fractional Brown motion is better than classical model. Assume that the firm＇s asset price obeys the stochastic differential equation driven by the fractional Brownian motion,the credit default swap pricing model is established under fractional Brown motion environment, and get explicit solution of a firm＇ s default probability and price of the credit default swap.
出处
《甘肃联合大学学报（自然科学版）》
2008年第5期34-37,共4页
Journal of Gansu Lianhe University :Natural Sciences
基金
陕西省教育厅自然科学专项基金项目(05JK207)
关键词
信用违约互换
违约概率
分数布朗运动
credit default swap
default probability
fractional Brown motion
