Title: The Valuation of Credit Default Swap Based on the Continous Diffusion Process Under the Condition of Random Liabilities
Abstract: Given the correlation between the firm value and the debt,it is assumed that the firm value and debt of the reference entities are driven by the geometric brownian motion.Using the risk neutral pricing method,a credit default swaps model based on the continous diffusion process is constructed.With the fortet equation,the default probability and the price expression of credit default swaps are obtained.
Publication Year: 2012
Publication Date: 2012-01-01
Language: en
Type: article
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