| 摘要: |
| 在随机汇率的假设下,通过倒向 Kolmogrov 方程,运用结构化方法建立了信用违约互换的定价模型,得到了美元市场上信用违约互换价格的显式解,并给出了相关的金融意义分析. |
| 关键词: 随机汇率 信用风险 信用违约互换 结构化方法 |
| DOI： |
| 分类号: |
| 基金项目:上海市教委重点项目(13ZZ107);上海师范大学一般科研项目(SK201211) |
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| Pricing model of credit default swap with stochastic foreign exchange rate |
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WANG Yang, NI Yujing, ZHANG Jizhou
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College of Mathematics and Sciences,Shanghai Normal University
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| Abstract: |
| A pricing model is established by using the structure approach and the backward Kolmogrov equation under the assumption of stochastic foreign exchange rate.The explicit solution of credit default swap is obtained for the dollar market.And a correlative financial analysis is given. |
| Key words: stochastic foreign exchange rate credit risk credit default swap structure approach |
