摘要
通过假设随机挽回率,扩展了Jarrow,L ando和T urnbu l(1997)[2]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K ijim a和K om oribayash i(1998)[3]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。
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.
出处
《系统工程》
CSCD
北大核心
2006年第1期82-86,共5页
Systems Engineering
基金
中国博士后基金资助项目(2004036158)
广东省自然科学基金资助项目(053005570400975)
广东省哲学社会科学"十五"规划项目(03/04C2-13)
