Pricing Credit Default Swaps Under Fractal Structural Model
This paper considers a credit default swaps (CDS) pricing under a fractal structural model, where the asset value is generated by a geometric fractional Brownian motion. In contrast to the classical structural model which is based on the geometric standard Brownian motion, the fractal one with long-dependent and self-similar behaviors matches the real asset data better. We analyze the ratio of a firms asset value to the threshold level via the fractal structural model, and derive the first-to-default probability of the firm. Based on this, we obtain the CDS pricing formula, and also present the estimation algorithm for associated parameters and some numerical computations.
credit default swaps fractional Brownian motion self-similar Hurst parameter volatility parameter
Tianyun Ma
School of Civil Engineering Ludong University Yantai, P.R.China
国际会议
南昌
英文
526-529
2009-09-01（万方平台首次上网日期，不代表论文的发表时间）