摘要翻译：
本文给出了CGMY L{e}vy过程的位相型近似的封闭形式的Wiener-Hopf因式分解。为了近似，这允许通过拉普拉斯变换反演精确计算到达势垒能级的第一次通过时间。CGMY模型对市场期权价格的校正定义了风险中性过程，在此过程中，我们将股票价格的首次通过时间推断为合约启动时价格水平的30%。然后将这些分布用于50%回收率股票违约互换(EDS)合约的定价，并将所得价格与信用违约互换(CDS)的价格进行比较。对福特和通用汽车的这些合同进行了说明性分析。
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英文标题：
《Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}%
  vy Model》
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作者：
Soeren Asmussen, Dilip Madan, Martijn Pistorius
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY L\'{e}vy 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.
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PDF链接：
https://arxiv.org/pdf/0711.2807