A Review on Credit Spread Option Pricing Models

摘要：

This paper reviews and analyzes four pricing models for credit options: Longstaff-Schwartz models, Das-Sundaram models, GARCH-based models and affine models. The first two models, Longstaff-Schwartz and Das-Sundaram, assume that the log spread follows a lognormal distribution, and price the credit spread options based on the so-called “spread models. These models belong to the class of structure models. GARCH model is assumed a discrete time when pricing the credit spread options. Finally, we consider the affine model, which belongs to reduced models, of the credit spread options pricing.

关键词： Finance Credit spread options Stochastic process Pricing model

作者: SHAO Peng LIU Jianhua LIU Yanping XU Jiemin

作者单位: School of Mathematics Science, Dalian University of Technology, Dalian, China, 116024 Faculty of Management and Economics, Dalian University of Technology, Dalian, China, 116024

会议类型: 国际会议

会议名称: The 4th (2012) International Conference on Financial Risk and Corporate Finance Management(第四届(2012)金融风险与公司金融国际研讨会 FRCFM)

会议地点: 大连

会议语种:英文

页码: 23-26

在线出版日期: 2012-07-07（万方平台首次上网日期，不代表论文的发表时间）