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  

THE PRICING OF CREDIT SPREAD DERIVATIVES WITH MEAN REVERTING AND STOCHASTIC VOLATILITY

作　　者：吴恒煜[1] 陈金贤[2] 

机构地区：[1]中山大学管理学院博士后流动站,广州510275 [2]西安交通大学管理学院,西安710049

出　　处：《经济数学》2006年第3期267-273,共7页Journal of Quantitative Economics

基　　金：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)

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.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 appllcations, 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.

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 

分 类 号：O21[理学—概率论与数理统计]