股票期权信用估值调整的柳树法计算

doi:10.11908/j.issn.0253-374x.2019.11.016

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股票期权信用估值调整的柳树法计算
DOI:
                        10.11908/j.issn.0253-374x.2019.11.016
                    
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                        王光光王光光
同济大学 数学科学学院,上海 200092
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许威许威
同济大学 数学科学学院,上海 200092
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中图分类号:F830.91
基金项目:国家自然科学基金（71771175）

Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options

Author:

WANG Guangguang
WANG Guangguang
School of Mathematical Sciences, Tongji University, Shanghai 200092, China
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XU Wei
XU Wei
School of Mathematical Sciences, Tongji University, Shanghai 200092, China
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摘要:

提出了一种基于柳树状结构快速计算带有错向风险的信用估值调整的算法, 并利用信用违约互换价差数据校准违约概率, 以几何布朗运动和跳扩散模型下欧式和百慕大股票期权的数值实验为例, 表明柳树法与现有方法相比有相同的计算精度, 但计算速度更快.

关键词:期权定价; 柳树法; 信用估值调整; 错向风险

Abstract:

An efficient willow tree algorithm is proposed to price CVA (credit valuation adjustment) with WWR(wrong way risk), which can also calibrate the default probability by credit swap spreads. Besides, some numerical experiments are presented to illustrate the accuracy and efficiency of the proposed method.

Key words:option pricing; willow tree method; credit valuation adjustment (CVA); wrong way risk

参考文献

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引用本文

王光光,许威.股票期权信用估值调整的柳树法计算[J].同济大学学报(自然科学版),2019,47(11):1656~1663

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收稿日期:2019-02-28
最后修改日期:2019-08-13
录用日期:2019-06-03
在线发布日期: 2019-12-05
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