摘要翻译：
股票违约掉期--在该工具的存续期间，当基础现货水平触及（远低于）障碍时，向持有者支付固定数量的资金。当障碍位于普通期权价格的可变现价格区间内时，大多数定价模型给出了合理的结果，但这种情况更多地涉及到资金之外的障碍。本文讨论了一种模型不敏感的确定首次命中次数的方法，该方法不依赖于价格动态随机过程的全部先验知识。因此，本分析预期会有更稳健的定价及对冲结果。与随机波动率模型相比，我们的方法非常适合于股票违约互换的保守定价。
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英文标题：
《A model-insensitive determination of First-hitting-time densities with
  Application to Equity default-swaps》
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作者：
Alex Langnau
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最新提交年份：
2010
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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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英文摘要：
  Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable results when the barrier lies within the range of liquidly traded strikes of plain-vanilla option prices, the situation is more involved for extremely out-of-the money barriers. In this paper we discuss a model-insensitive approach for the determination of first hitting times that does not rely on the full a priori knowledge of the stochastic process for the price dynamics. Hence more robust pricing and hedging results are expected as a result of this analysis. In contrast to stochastic volatility-models our approach is well suited for the conservative pricing of equity default-swaps.
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PDF链接：
https://arxiv.org/pdf/1002.2573