欧式信用价差期权的定价

Pricing European Style Credit Spread Option

摘要:

除了利率风险外,投资者购买企业债券后可能会因企业破产和经营不善而遭受损失.许多金融机构推出了类似保险的违约互换和信用价差期权为投资者因企业破产和经营不善而遭受的损失提供保护.利用首次通过模型,把信用价差期权看成是公司资产值和短期利率的带障碍的复合期权,用偏微分方程的方法给出显式定价公式并用数值方法分析了其金融意义.

关键词:企业债券; 信用价差期权; 首次通过模型

Abstract:

Besides the risk of interest rate,investors may also suffer economic losses due to an enterprise’s bankruptcy and illmanagement,therefore,the credit default swap and credit spread option are put forward for the sake of the investers.Based on the first passage model and PDE,the closedform solution is obtained with the credit spread option as the compound option of the firm value and the short interest rate with barrier.The financial meanings are analyzed by numerical results.

Key words:corporate bond; credit spread option; first passage time model