Based on the reduced-form approach, this paper investigates the pricing problems of default-risk bonds and credit default swaps(CDSs) for a fractional stochastic interest rate model with jump under the framework of pr...Based on the reduced-form approach, this paper investigates the pricing problems of default-risk bonds and credit default swaps(CDSs) for a fractional stochastic interest rate model with jump under the framework of primary-secondary. Using properties of the quasi-martingale with respect to the fractional Brownian motion and the jump technique in Park(2008), the authors first derive the explicit pricing formula of defaultable bonds. Then, based on the newly obtained pricing formula of defaultable bonds, the CDS is priced by the arbitrage-free principle. This paper presents an extension of the primary-secondary framework in Jarrow and Yu(2001).展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.11401556,61304065 and 11471304the Fundamental Research Funds for the Central Universities under Grant No.WK2040000012
文摘Based on the reduced-form approach, this paper investigates the pricing problems of default-risk bonds and credit default swaps(CDSs) for a fractional stochastic interest rate model with jump under the framework of primary-secondary. Using properties of the quasi-martingale with respect to the fractional Brownian motion and the jump technique in Park(2008), the authors first derive the explicit pricing formula of defaultable bonds. Then, based on the newly obtained pricing formula of defaultable bonds, the CDS is priced by the arbitrage-free principle. This paper presents an extension of the primary-secondary framework in Jarrow and Yu(2001).
