| 基于价格均值回复与随机波动率的信用差价衍生产品定价 |
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| 引用本文： | 吴恒煜,陈金贤. 基于价格均值回复与随机波动率的信用差价衍生产品定价[J]. 经济数学, 2006, 23(3): 267-273 |
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| 作者姓名： | 吴恒煜 陈金贤 |
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| 作者单位： | 中山大学管理学院博士后流动站,广州,510275;西安交通大学管理学院,西安,710049 |
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| 基金项目： | 中国博士后基金资助项目(2004036158)，广东省自然科学基金项目(05300557、0400975) |
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| 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O rnste in-U h lenbeck过程,应用解偏微分与特征函数方法,分析衍生品的定价方程,推导出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.
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| 关 键 词： | 随机利率 相关 鞅 最优停时 |
| 修稿时间： | 2006-05-18 |
THE PRICING OF CREDIT SPREAD DERIVATIVES WITH MEAN REVERTING AND STOCHASTIC VOLATILITY |
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| Wu Hengyu,Chen Jinxian. THE PRICING OF CREDIT SPREAD DERIVATIVES WITH MEAN REVERTING AND STOCHASTIC VOLATILITY[J]. Mathematics in Economics, 2006, 23(3): 267-273 |
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| Authors: | Wu Hengyu Chen Jinxian |
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| 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. |
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| Keywords: | Stochastic volatility credit spread option credit spread cap credit spread floor |
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