轧差情况下含有交易对手风险期权组合定价  

Pricing Option Based Portfolio with Counterpary Risk Impact of Netting

作　　者：李少华[1] 秦威[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《应用泛函分析学报》2014年第1期1-9,共9页Acta Analysis Functionalis Applicata

基　　金：基于云计算的国家金融数据分析与信息服务关键技术与应用(2012BAH17B03)

摘　　要：文章探讨了轧差在对含有交易对手风险的衍生品定价时的影响.这里的研究对象是期权的多空组合,从交易双方违约独立假设到违约相关假设,采用约化的方法推导了组合价值在考虑了轧差和不考虑轧差时满足的偏微分方程,并且分别计算了两种假设下轧差对于投资组合的影响.我们发现考虑轧差之后,组合的CVA(credit Value Adjustment)小于不考虑轧差时的CVA值,也就是说,轧差可以很大程度地降低违约后的损失.The paper discusses the im.pact of netting on derivatives pricing with counterparty risk. Here the object of study is a combination of long and short of options, from the parties with independent default events to the parties with default correlation. Reduced form method is applied to derived the PDE satisfied value with and without netting, and, respectively, also get the impact on portfolio of netting under two assumptions. After taking netting into account, credit value adjustment （CVA） of the combination is less than which without considering netting, that is, losses can be reduced to a large extent after default event by netting.

关 键 词：轧差 交易对手风险 期权组合 约化方法 

分 类 号：F830[经济管理—金融学]