Pricing Contingent Claims With Credit Risk:Asymptotic Expansion Approach

With economic integration speeding up in the world, the financial market got a rapid development. In recent years, credit risk was paid more and more attention, the research of credit risk has become one of the hot issues of financial economics.There are two main types of research on credit risk model: structure model and simple model. In the simple model, this paper studied the pricing with the credit risk problem.This paper assumed interest rates and risk rates to be Ito process, used the asymptotic expansion of parameters of interest rate and risk rate model,and then combined with the recovery rules,gave default zero coupon bonds and credit default swap approximate solution of pricing.