分形结构模型下信用违约掉期定价

T. Ma
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引用次数: 0

摘要

本文研究了分形结构模型下的信用违约掉期(CDS)定价问题,其中资产价值是由几何分数布朗运动产生的。与基于几何标准布朗运动的经典结构模型相比,具有长依赖和自相似行为的分形模型更符合真实资产数据。通过分形结构模型分析了企业资产价值与阈值水平的比值,推导出了企业的优先违约概率。在此基础上,给出了CDS定价公式,并给出了相关参数的估计算法和一些数值计算。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Pricing Credit Default Swaps Under Fractal Structural Model
This paper considers a credit default swaps (CDS) pricing under a fractal structural model, where the asset value is generated by a geometric fractional Brownian motion. In contrast to the classical structural model which is based on the geometric standard Brownian motion, the fractal one with long-dependent and self-similar behaviors matches the real asset data better. We analyze the ratio of a firm's asset value to the threshold level via the fractal structural model, and derive the first-to-default probability of the firm. Based on this, we obtain the CDS pricing formula, and also present the estimation algorithm for associated parameters and some numerical computations.
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