Pricing contingent claims with credit risk: Asymptotic expansion approach
Pricing contingent claims with credit risk: Asymptotic expansion approach
复制标题
具有信用风险的或有债权定价：渐近扩张法
DOI：
10.1007/s00780-004-0147-2
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发表时间：
2005
影响因子：
1.7
通讯作者：
Yoshifumi Muroi
中科院分区：
文献类型：
--
作者：
Yoshifumi Muroi
摘要：信用衍生产品的定价问题在过去十年中受到了广泛的关注。然而，在利率过程和风险率过程均为随机的一般环境下，信用衍生产品的定价问题是一个尚未解决的重要问题。本文利用渐近展开方法研究信用衍生产品的定价问题。这种方法最近才被引入数学金融学，它使我们能够在广泛适用的模型下评估信用衍生品。我们还提出了一个数值研究。
Abstract.The pricing problems of credit derivatives have received much attention in the last decade. An important unresolved problem, however, is the pricing of credit derivatives under the general environment in which the interest rate process and the hazard rate process are stochastic. This article addresses the pricing problems of credit derivatives by the asymptotic expansion approach. This approach has only recently been introduced to mathematical finance, and it enables us to evaluate credit derivatives under a widely adapted class of models. We also present a numerical study.