基于CGMY Lé% vy模型的股票违约互换定价
Pricing Equity Default Swaps under an approximation to the CGMY Lé% vy Model
摘要：
对CGMY莱维过程的位相型近似，得到了Wiener-Hopf分解的封闭形式.这允许，近似，通过拉普拉斯变换反演势垒水平的第一次通过时间的精确计算。校准CGMY模型的市场期权价格定义的风险中性的过程中，我们推断的第一次通过时间的股票价格的30%的价格水平在合同启动。然后，这些分布被用于为50%回收率的股票违约掉期（EDS）合约定价，并将所得价格与信用违约互换（CDS）的价格进行比较。本文对福特和通用汽车公司的合同进行了说明性分析。
英文摘要：
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral process for which we infer the first passage times of stock prices to 30% of the price level at contract initiation. These distributions are then used in pricing 50% recovery rate equity default swap (EDS) contracts and the resulting prices are compared with the prices of credit default swaps (CDS). An illustrative analysis is presented for these contracts on Ford and GM.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
