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本文讨论了基于混合分布单因子模型的CDO定价问题,在所研究的CDO抵押资产组合中,描述资产价值的市场共同因子和异质因子均服从标准高斯和NIG的混合分布,且相关系数为随机相关系数.通过半解析法给出了CDO分券层的公允价格公式,并利用傅里叶变换及其逆变换,得出了贝努利相关和三状态相关两种随机相关系数的情形下累积损失概率分布的求解方法.
In this paper, we discuss the CDO pricing problem based on the mixed-distribution one-way model. In the CDO portfolio under study, the market common factors and heterogeneous factors that describe the value of assets follow the mixed distribution of standard Gaussian and NIG, and the correlation coefficient is random Correlation coefficient.The fair price formula of CDO coupon is given by semi-analytical method, and the Fourier transform and its inverse transform are used to obtain the accumulation of two kinds of random correlation coefficients between the Bernoulli correlation and the three states Solution to the distribution of loss probability.