带有信用风险的未定权益定价：渐近展开方法

发布时间：2017-12-30 20:10

本文关键词：带有信用风险的未定权益定价：渐近展开方法　出处：《华中师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着世界经济一体化进程的加快,金融市场得到迅猛发展。近年来,信用风险受到越来越大的关注,对信用风险的研究已成为金融经济学的热点问题之一。研究信用风险主要有两种模型：结构模型和简约模型。本文在简约模型中,研究了带有信用风险的未定权益定价问题。假设利率和风险率服从伊藤过程,通过对利率和风险率模型参数的渐近展开,并结合回收规则,分别给出了违约零息债券和信用违约互换定价的近似解。
[Abstract]:With the acceleration of the process of world economic integration , financial market has been developing rapidly . In recent years , the credit risk has been paid more and more attention , and the research on credit risk has become one of the hot issues of financial economics . Two models of credit risk are studied : structural model and simplified model . In this paper , the pricing problem of uncertain equity with credit risk is studied in this paper . It is assumed that interest rate and risk rate are subject to the liana process , and the approximate solution of default zero - interest bond and credit default swap pricing is given by combining the asymptotic expansion of interest rate and risk rate model parameters and combining the recovery rules .

【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

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