中文摘要：

给出了一个股权违约互换（equity default swap）定价的结构化模型．假设标的股票价格满足一个几何双指数跳扩散过程，并且违约发生于公司股票价格首次低于违约阈值的时刻．通过引入Esscher风险中性测度，得出了风险中性测度下公司的违约概率的Laplace变换公式．然后，利用Gaver—Stehfest算法得出了风险中性违约概率．最后给出了基于双指数跳扩散过程的股权违约互换（EDS）的定价算法并进行了数值模拟．

英文摘要：

In this paper, a structural model for the pricing of equity default swap is provided. It is assume that the underlying stock prices satisfies a geometric double exponential jump diffusion process and the default time is the first time when the equities go down to the default triggering threshold. The Laplace transformation of risk-neutral default probability can be obtained by using a Esscher risk neutral measure. Then with the help of Gaver-Stehfest algorithm the risk-neutral cumulative default probability is obtained. At last this paper gives out a pricing algorithm and simulation of equity default swap （EDS） based on the geometric double exponential jump diffusion process.