کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5103511 1480105 2017 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing credit default swaps under a multi-scale stochastic volatility model
ترجمه فارسی عنوان
پیش بینی مبادله اعتباری قیمت گذاری تحت یک مدل نوسانات تصادفی چندمرحله ای
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
In this paper, we consider the pricing of credit default swaps (CDSs) with the reference asset driven by a geometric Brownian motion with a multi-scale stochastic volatility (SV), which is a two-factor volatility process with one factor controlling the fast time scale and the other representing the slow time scale. A key feature of the current methodology is to establish an equivalence relationship between the CDS and the down-and-out binary option through the discussion of “no default” probability, while balancing the two SV processes with the perturbation method. An approximate but closed-form pricing formula for the CDS contract is finally obtained, whose accuracy is in the order of O(ϵ+δ+ϵδ).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 468, 15 February 2017, Pages 425-433
نویسندگان
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