| 信用违约联结票券的定价 |
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| 引用本文： | 刘平兵.信用违约联结票券的定价[J].数学理论与应用,2006(1). |
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| 作者姓名： | 刘平兵 |
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| 作者单位： | 中南大学 湖南财经高等专科学校 410205 |
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| 摘 要： | 本文从定义信用违约联结票券出发,介绍了JarrowandTurnbul(1995)违约强度模型。然后在该模型的基础上,针对不同的公司,假设违约时间独立同服从指数分布且与利率期间结构独立,分别就t=0与0
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| 关 键 词： | 信用衍生工具 信用违约联结票券 定价 |
Pricing Credit Default Linked Notes |
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| Liu Pingbing.Pricing Credit Default Linked Notes[J].Mathematical Theory and Applications,2006(1). |
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| Authors: | Liu Pingbing |
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| Abstract: | According to pricing credit default kinked notes,this article introduces Jarrow and Turnbull's Reduced Form Model(1995).An then on the basis of the model above,supposing that credit risk time is independent and is subject to exponential distribution and is independent of interest duration,credit default linked notes are priced for different companies as far as t=0 and 0
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| Keywords: | credit default derivatives credit default linked notes pricing |
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