Credit derivatives pricing model for fuzzy financial market

DOI10.1155/2015/879185MaRDI QIDQ1666827zbMATH OpenOpenAlexWikidataFDO

Authors Liang Wu, Xiaojing Lin, Ya-Ming Zhuang

Publication date 27 August 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/879185

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Review text

Summary: With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing. Based on fuzzy process theory, this paper first brings fuzziness into credit derivatives pricing, discusses some pricing formulas of credit derivatives, and puts forward a One-Factor Fuzzy Copula function which builds a foundation for portfolio credit products pricing. Some numerical calculating samples are presented as well.

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Cites work

• A reduced-form intensity-based model under fuzzy environments
• Expected value and variance of geometric Liu process
• Fractional Liu process with application to finance
• Fuzzy sets
• Option pricing for an uncertain stock model with jumps
• Theory and practice of uncertain programming.

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• Introducing fuzziness in CDS pricing under a structural model
• A new default probability calculation formula and its application under uncertain environments
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