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- W2360715356 abstract "The credit default swap is an important credit derivative. Based on the basic principle of the credit default swap, this paper analyses the value of a credit default swap in terms of its cash flow. Furthermore, the arbitrage-free principle and structural approaches are used to price the credit default swap under stochastic liabilities, and we get a basic model of the swap. The function of default probability density is obtained by the distribution of the minimum of a Brown motion with a drift, and then we obtain the pricing formula to a credit default swap by above results." @default.
- W2360715356 created "2016-06-24" @default.
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- W2360715356 date "2010-01-01" @default.
- W2360715356 modified "2023-09-23" @default.
- W2360715356 title "The Pricing of Credit Default Swap under Stochastic Liabilities" @default.
- W2360715356 hasPublicationYear "2010" @default.
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