Liu Yonghui, Hao Ruili, Wang Shoubai. Pricing CDS under Fractional Vasicek Interest Rate Model[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(3): 257-266.
Citation: Liu Yonghui, Hao Ruili, Wang Shoubai. Pricing CDS under Fractional Vasicek Interest Rate Model[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(3): 257-266.
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Pricing CDS under Fractional Vasicek Interest Rate Model

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  • 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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