| 股票期权信用估值调整的柳树法计算 |
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| 引用本文： | 王光光,许威.股票期权信用估值调整的柳树法计算[J].同济大学学报(自然科学版),2019,47(11):1656-1663. |
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| 作者姓名： | 王光光 许威 |
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| 作者单位： | 同济大学 数学科学学院,上海 200092,同济大学 数学科学学院,上海 200092 |
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| 基金项目： | 国家自然科学基金（71771175） |
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| 摘 要： | 提出了一种基于柳树状结构快速计算带有错向风险的信用估值调整的算法,并利用信用违约互换价差数据校准违约概率,以几何布朗运动和跳扩散模型下欧式和百慕大股票期权的数值实验为例,表明柳树法与现有方法相比有相同的计算精度,但计算速度更快.
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| 关 键 词： | 期权定价 柳树法 信用估值调整 错向风险 |
| 收稿时间： | 2019/2/28 0:00:00 |
| 修稿时间： | 2019/8/13 0:00:00 |
Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options |
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| WANG Guangguang and XU Wei.Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options[J].Journal of Tongji University(Natural Science),2019,47(11):1656-1663. |
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| Authors: | WANG Guangguang and XU Wei |
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| Institution: | School of Mathematical Sciences, Tongji University, Shanghai 200092, China and School of Mathematical Sciences, Tongji University, Shanghai 200092, China |
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| Abstract: | An efficient willow tree algorithm is proposed to price CVA (credit valuation adjustment) with WWR(wrong way risk), which can also calibrate the default probability by credit swap spreads. Besides, some numerical experiments are presented to illustrate the accuracy and efficiency of the proposed method. |
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| Keywords: | option pricing willow tree method credit valuation adjustment (CVA) wrong way risk |
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