论文标题
信用默认交换和混合分数CEV模型
Credit Default Swaps and the mixed-fractional CEV model
论文作者
论文摘要
本文探讨了由混合分裂的布朗运动（MFCEV）驱动的方差模型恒定弹性的能力[Axel A. Araneda。分数和混合分数CEV模型。计算和应用数学杂志，363：106-123，2020]，以解决与默认相关的财务问题，尤其是信用违约掉期的定价。与标准的布朗尼案相比，在混合裂纹扩散下的默认可能性和CD的可能性增加，提高了标准恒定方差模型（CEV）的经验较低的经验性能，从而为信用事件提供了更现实的模型。
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied Mathematics, 363:106-123, 2020] to address default-related financial problems, particularly the pricing of Credit Default Swaps. The increase in both, the probability of default and the CDS spreads under mixed-fractional diffusion compared to the standard Brownian case, improves the lower empirical performance of the standard Constant Elasticity of Variance model (CEV), yielding a more realistic model for credit events.
