| 随机挽回率马尔可夫链模型下信用差价衍生品定价 |
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| 引用本文： | 吴恒煜.随机挽回率马尔可夫链模型下信用差价衍生品定价[J].系统工程,2006,24(1):82-86. |
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| 作者姓名： | 吴恒煜 |
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| 作者单位： | 广东商学院,广东,广州,510320;中山大学,管理学院,博士后流动站,广东,广州,510275 |
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| 基金项目： | 中国博士后科学基金;广东省博士启动基金;广东省哲学社会科学规划项目 |
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| 摘 要： | 通过假设随机挽回率，扩展了Jarrow，Lando和Turnbul（1997）的马尔可夫链模型，得到有违约风险零息债券与信用衍生品的定价公式，并一般化了Kijima和Komoribayashi（1998）模型中的风险贴水调整，进一步给出信用差价期权的定价公式。
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| 关 键 词： | 马尔可夫链模型 信用差价期权 随机挽回率 |
| 文章编号： | 1001-4098（2006）01-0082-05 |
| 收稿时间： | 2005-06-30 |
| 修稿时间： | 2005-06-302005-11-12 |
The Valuation of Credit Spread Option under a Random Recovery Rate of Markov Chain Model |
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| WU Heng-yu.The Valuation of Credit Spread Option under a Random Recovery Rate of Markov Chain Model[J].Systems Engineering,2006,24(1):82-86. |
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| Authors: | WU Heng-yu |
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| Institution: | 1. Guangdong University of Commerce, Guangzhou 510320,China ; 2.Postdoctoral Station,School of Management,Sun Yat-Sen University,Guangzhou 510275,China |
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| Abstract: | This paper presents the valuation of credit spread option under a random recovery rate of Markov Chain Model.With the use of the assumption of random recovery rate,the Markov-chain model of Jarrow,lando and Tumbul(1997) has been extended and the valuation formula of zero-coupon bonds with default risk and other credit sensitive instruments is(given.) Moreover,this paper generalizes the risk premium adjustment in the model by Kiuima and Komoribayashi(1998) and(derives) the pricing formula of credit spread option. |
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| Keywords: | Markov Chain Model Credit Spread Option Random Recovery Rate |
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