| 首次违约互换合约的定价 |
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| 引用本文： | 林建伟,梁雄海. 首次违约互换合约的定价[J]. 吉林林学院学报, 2010, 0(6): 495-500 |
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| 作者姓名： | 林建伟 梁雄海 |
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| 作者单位： | 莆田学院数学系,福建莆田351100 |
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| 基金项目： | 国家自然科学基金项目（10671103）; 福建省省属高校基金资助项目（2008F5050） |
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| 摘 要： | 综合应用随机分析理论和约化方法 ,研究债券池为三个公司债券的首次违约互换合约的定价问题,分别建立了考虑卖方违约风险和不考虑卖方违约风险首次违约互换合约的数学模型,并得到了相应的合约定价表达式.
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| 关 键 词： | 首次违约互换合约 约化法 卖方违约风险 |
Pricing of First-to-Default Swap Contract |
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| LIN Jian-wei,LIANG Xiong-hai. Pricing of First-to-Default Swap Contract[J]. , 2010, 0(6): 495-500 |
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| Authors: | LIN Jian-wei LIANG Xiong-hai |
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| Affiliation: | (Department of Mathematics,Putian University,Putian 351100,China) |
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| Abstract: | The pricing problems of first-to-default swap contract with an asset pool containing three corporate bonds are considered by applying synthesized stochastic analysis theory and reduced method.The pricing mathematical models of first-to-default swap contract with considering counterparty risk and without counterparty risk are depict respectively,moreover,the corresponding pricing formulas are obtained. |
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| Keywords: | first-to-default swap contract reduced method counterparty default risk |
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