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| 一个股权违约互换的定价模型研究 | |
| 引用本文： | 伍舟宏,田明,陈启宏.一个股权违约互换的定价模型研究[J].系统工程学报,2008,23(5). |
| 作者姓名： | 伍舟宏 田明 陈启宏 |
| 作者单位： | 1. 上海财经大学金融学院,上海,200433 2. 上海工程技术大学基础教学学院,上海,201620 3. 上海财经大学应用数学系,上海,200433 |
| 基金项目： | 国家自然科学基金，上海市高校选拔优秀青年教师专项基金，面向21世纪教育振兴行动计划专项 |
| 摘 要： | 给出了一个股权违约互换(equity default swap)定价的结构化模型.假设标的股票价格满足一个几何双指数跳扩散过程,并且违约发生于公司股票价格首次低于违约阈值的时刻.通过引入Esscher风险中性测度,得出了风险中性测度下公司的违约概率的Laplace变换公式.然后,利用Gaver-Stehfest算法得出了风险中性违约概率.最后给出了基于双指数跳扩散过程的股权违约互换(EDS)的定价算法并进行了数值模拟. |
| 关 键 词： | 股权违约互换 风险中性违约概率 Laplace变换 双指数跳跃-扩散过程 |
Study of pricing model of equity default swap |
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| WU Zhou-hong,TIAN Ming,CHEN Qi-hong.Study of pricing model of equity default swap[J].Journal of Systems Engineering,2008,23(5). | |
| Authors: | WU Zhou-hong TIAN Ming CHEN Qi-hong |
| Institution: | WU Zhou-hong~1 TIAN Ming~2 CHEN Qi-hong~3.School of Finance,Shanghai University of Finance & Economies,Shanghai 200433,China,.College of Fundamental Studies Shanghai University of Engineering Science,Shanghai 201620,.Department of Applied Mathematics |
| Abstract: | In this paper,a structural model for the pricing of equity default swap is provided.It is assume that the underlying stock prices satisfies a geometric double exponential jump diffusion process and the default time is the first time when the equities go down to the default triggering threshold.The Laplace transformation of risk-neutral default probability can be obtained by using a Esscher risk neutral measure.Then with the help of Gaver-Stehfest algorithm the risk-neutral cumu- lative default probability i... |
| Keywords: | equity default swap risk-neutral default probability laplace transformation double exponential jump-diffusion process |
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