约化模型中含有对手风险的信用违约互换定价
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引用本文:徐亚娟.约化模型中含有对手风险的信用违约互换定价[J].经济数学,2013,(2):36-40
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作者单位
徐亚娟 (苏州市职业大学 马列与公共教学部江苏 苏州215104) 
中文摘要:在约化模型中研究了含有对手风险的信用违约互换的定价问题. 通过构建信用违约互换买方、卖方和参考资产之间的衰减传染结构, 借助于测度变换的方法分别导出了含有单边和双边对手风险的信用违约的定价表达式.
中文关键词:衰减传染结构  信用违约互换  约化模型  测度变换
 
Pricing Credit Default Swaps with Counterparty Risk in the Reduced-Form Model
Abstract:The pricing of credit default swap with counterparty risk was studied in the reduced-form model. Through constructing the attenuation contagion structure between buyer, seller and reference asset, the pricing expressions of the credit default swap with unilateral and bilateral counterparty risk were derived, respectively, by the method of change of measure.
keywords:attenuation contagion structure  credit default swap(C D S)  reduced-form model  change of measure
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