{"title":"分形结构模型下信用违约掉期定价","authors":"T. Ma","doi":"10.1109/ICMECG.2009.23","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":252323,"journal":{"name":"2009 International Conference on Management of e-Commerce and e-Government","volume":"82 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing Credit Default Swaps Under Fractal Structural Model\",\"authors\":\"T. Ma\",\"doi\":\"10.1109/ICMECG.2009.23\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":252323,\"journal\":{\"name\":\"2009 International Conference on Management of e-Commerce and e-Government\",\"volume\":\"82 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-09-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2009 International Conference on Management of e-Commerce and e-Government\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICMECG.2009.23\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 International Conference on Management of e-Commerce and e-Government","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICMECG.2009.23","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.