کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9663896 | 1446248 | 2005 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On pricing of credit spread options
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper describes and analyses different pricing models for credit spread options such as Longstaff-Schwartz, Black, Das-Sundaram and Duan (GARCH-based) models. The first two models, Longstaff-Schwartz and Black, assume respectively a mean-reverting dynamic and a lognormal distribution for the spread and are representative of the so-called “spread models”. Such models consider the spread as a unique variable and provide closed form solutions for option pricing. On the contrary Das-Sundaram propose a recursive backward induction procedure to price credit spread options on a bivariate tree, which describes the dynamic of the term structure of forward risk-neutral spread and risk-free rate. This model belongs to the class of structural models, which can be used to price a wider range of credit risk derivatives. Finally, we consider the pricing of credit spread options assuming a discrete time GARCH model for the spread.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 163, Issue 1, 16 May 2005, Pages 52-64
Journal: European Journal of Operational Research - Volume 163, Issue 1, 16 May 2005, Pages 52-64
نویسندگان
Rosella Giacometti, Mariangela Teocchi,