基于分数维Vasicek利率模型的CDS定价

Pricing CDS under Fractional Vasicek Interest Rate Model

  • 摘要: 本文研究CDS的定价问题, 其中涉及到利率风险和传染风险. 文中用分数维Vasicek利率模型刻画利率风险, 对公司的违约强度进行建模, 给出了违约与利率相关时风险债券的价格, 并在此基础上得到CDS的价格.

     

    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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