Ӧ�ø���ͳ�� 2014, 30(3) 257-266 DOI:      ISSN: 1001-4268 CN: 31-1256

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�����÷���άVasicek����ģ�Ϳ̻����ʷ���, �Թ�˾��ΥԼǿ�Ƚ��н�ģ,
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�ؼ����� ����άVasicek����ģ��   ����ծȯ   ��Ⱦģ��   CDS����.  
Pricing CDS under Fractional Vasicek Interest Rate Model
Liu Yonghui, Hao Ruili, Wang Shoubai
School of Business Information Management, Shanghai University of International Business and Economics; Post-Doctoral Station of Applied Economics, Fudan University; Department of Applied Mathematics, Shanghai Finance University; Department of Applied Mathematics, Shanghai University of Finance and Economics
Abstract:

In this paper, the pricing problem of CDS with the interest
rate risk and contagious risk is investigated. The interest rate satisfies the fractional
Vasicek interest rate model. We model the firm's default intensity. We derive the pricing
formula of risky bonds when the default is correlated with interest rate and get the
price of CDS.

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