【摘要】 本文讨论了含交易方违约的信用违约互换定价问题,应用无套利原理得到了模型的价格,文章采用蒙特卡洛方法对模型进行了数值模拟,讨论了模型的价格与合约期限以及公司违约相关系数的关系。更多还原

【Abstract】 The paper discusses the problem of pricing of credit default swap with counterparty risk,and obtains the pricing formula of the model with arbitrage-free principle.The prices of the model are obtained by means of the Monte-Carlo simulation.It analyses the relationship between the prices and the maturity and the default correlation coefficient.更多还原