Pricing model of credit default swap with stochastic foreign exchange rate
A pricing model is established by using the structure approach and the backward Kolmogrov equation under the assumption of stochastic foreign exchange rate.The explicit solution of credit default swap is obtained for the dollar market.And a correlative financial analysis is given.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academic Journals Center of Shanghai Normal University
2013-04-01
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| Series: | Journal of Shanghai Normal University (Natural Sciences) |
| Subjects: | |
| Online Access: | http://qktg.shnu.edu.cn/zrb/shsfqkszrb/ch/reader/create_pdf.aspx?file_no=201302004&year_id=2013&quarter_id=2&falg=1 |