快速随机波动下的信用风险定价研究

2016 International Conference on Identification, Information and Knowledge in the Internet of Things (IIKI) Pub Date : 2016-10-01 DOI:10.1109/IIKI.2016.114

Shican Liu, Xiangyu Ge

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摘要

本文旨在研究快速尺度随机波动率修正下单名信用衍生品定价的风险厌恶。采用渐近逼近法得到非线性偏微分方程的闭型解，并比较了随机波动率修正前后的效用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility

This paper aims to study the risk aversion on valuing the single-name credit derivatives with the fast-scale stochastic volatility correction. Asymptotic approximation is applied to obtain the closed-form solution of the non-linear PDE, and comparison is made to show the utility before and after the stochastic volatility modification.

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2016 International Conference on Identification, Information and Knowledge in the Internet of Things (IIKI)

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