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| 具有价格均值回复与随机波动率的信用差价衍生产品定价 | |
| 引用本文： | 吴恒煜,吴唤群,宋一宁. 具有价格均值回复与随机波动率的信用差价衍生产品定价[J]. 系统工程, 2006, 24(7): 45-49 |
| 作者姓名： | 吴恒煜 吴唤群 宋一宁 |
| 作者单位： | 1. 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 2. 广州大学,经济与管理学院,广东,广州,510006 3. 湖南大学,湖南,长沙,410082 |
| 基金项目： | 中国博士后科学基金;广东省自然科学基金;广东省哲学社会科学规划项目 |
| 摘 要： | 为了研究均值回复特征与随机波动率对金融衍生品定价的影响，考虑状态变量的均值回复特征与两种随机波动率过程：平方根过程与Ornstein-Uhlenbeck过程，应用解偏微分方程与特征函数方法．推导出衍生品的定价方程。推导了基于均值回复特征与随机波动率的信用差价期权、信用差价上限与下限的定价公式。结果表明，均值回复和随机波动率在衍生品定价中起重要影响。 |
| 关 键 词： | 随机波动率 信用差价期权 信用差价上限 信用差价下限 |
| 文章编号： | 1001-4098（2006）07-0045-05 |
| 收稿时间： | 2006-05-25 |
| 修稿时间： | 2006-05-25 |
The Pricing of Credit Spread Derivatives with Mean Reverting and Stochastic Volatility |
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| WU Heng-yu,WU Huan-qun,SONG Yi-ning. The Pricing of Credit Spread Derivatives with Mean Reverting and Stochastic Volatility[J]. Systems Engineering, 2006, 24(7): 45-49 | |
| Authors: | WU Heng-yu WU Huan-qun SONG Yi-ning |
| Affiliation: | 1. Guangdong University of Commerce, Guangzhou 510320, China ; 2. Postdoctoral Station,School of Management, Sun Yat-Sen Universty,Guangzhou 510275 ,China ; 3. School of Economic and Management,Guangzhou Universty,Guangzhou 510006,China; 4. Hunan University,Changsha 410082,China |
| Abstract: | In order to analyze the effects of mean reverting and stochastic volatility on the derivative pricing, A very general mean reverting process for the state variable and two stochastic volatility processes, the square-root process and the Ornstein-Uhlenbeck process, are considered. For both models, semi-closed-form solutions for characteristic functions are derived. As applications, pricing formulas for credit spread options, caps and floors are derived. It also is shown that mean reversion and stochastic volatility can have a major impact on derivative prices. |
| Keywords: | Stochastic Volatility Credit Spread Option Credit Spread Cap Credit Spread Floor |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |