多货币债券定价的跳跃扩散模型随机路径分析  

Analysis on the Stochastic Path of Pricing the Bonds in Different Currencies under a Jump Diffusion Model

作　　者：王雪 王小利[2] WANG Xue;WANG Xiaoli(Shenzhen Overseas Chinese Town Co.,Ltd.Shenzhen Guangdong 518300,China;Inner Mongolia University of Technology,Hohhot Inner Mongolia 710005,China)

机构地区：[1]华侨城集团,广东深圳518300 [2]内蒙古工业大学,内蒙古呼和浩特710005

出　　处：《金融理论与教学》2023年第1期50-53,59,共5页Finance Theory and Teaching

摘　　要：针对同一债券特别是主权债券以不同币种发行时所产生的违约信用风险进行研究,同时关注回收率对汇率形成的影响。研究认为:以远期汇率为对冲工具的组合无效,而同时考虑违约及不违约情况的期望汇率定价是一个有效选择。在这一理念基础上,研究还讨论了确定期望汇率的分析框架,并利用跳跃扩散模型复制策略进行风险对冲,然后对不同币种债券定价,最后利用蒙特卡洛技术模拟汇率生成的随机路径。This paper makes a thorough analysis on the default risk of the bonds,especially the sovereign bonds issued in different currencies,at the same time,the paper focuses on the impact of the recovery rate on the formation of exchange rate.The study shows the combination using forward exchange rate as hedging strategy is resultless,however,pricing with an expected foreign exchange which considers default or non-default is an effective option.Based on the idea,the paper further makes an analytical framework for determining the expected exchange rate and hedges against risks by employing jump diffusion model replication and then prices the bonds in different currencies,finally the paper uses Monte Carlo method to simulate the stochastic path for the formation of foreign exchange rate.

关 键 词：跳跃扩散 债券定价 汇率的随机路径 蒙特卡洛模拟 

分 类 号：F830.91[经济管理—金融学]