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提出具有似扩散行为的共同因素与特定评级因素及其驱动下的时变Markov链模型,在仿射期限结构框架下建立了考虑交易对手信用风险的互换期权定价模型.以1998年1月-2008年12月美国国债的收益率数据及评级机构穆迪的信用评级数据为样本,利用卡尔曼滤波技术与约束非线性最小二乘法对模型进行了参数估计.主要结果为:首先,以似扩散过程的形式引入具有权重影响的共同因素与特定评级因素,构建了基于信用评级的时变Markov链模型;其次,建立了含信用风险的互换期权定价模型,给出了该期权的闭式解;最后,分析了交易对手方信用等级状况的变化对互换期权定价的影响.
Put forward the common factors with diffusion-like behavior, the specific rating factors and the time-varying Markov chain model driven by it, and set up the exchange option pricing model considering the counterparty credit risk under the framework of affine term structure.In this paper, In December 2008, the yield data of the US Treasury bonds and the Moody’s credit rating data of the rating agency were taken as samples, and the parameters were estimated by Kalman filtering and constrained nonlinear least squares.The main results are as follows: First, The paper introduces a time-varying Markov chain model based on credit rating by introducing the common factors and the specific rating factors that have the influence of weight in the form of process. Secondly, the pricing model of swap options with credit risk is established and the closed-form solution of the option is given. Finally, the paper analyzes the impact of the changes in the credit rating of counterparties on the pricing of swap options.