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  本文關(guān)鍵詞：衍生GARCH模型下的信用利差歐式期權(quán)的定價　出處：《西南財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 信用利差 期權(quán) GARCH模型 均值回復(fù)

【摘要】：本文使用Longstaff和Schwartz (1995)所研究的信用利差的均值回復(fù)特性以及Heston和Nandi (1999)所采用的GARCH模型得出信用利差歐式期權(quán)的閉解形式。同時信用利差的對數(shù)采用GARCH模型,而不是采用傳統(tǒng)的對數(shù)正態(tài)分布下的幾何布朗運動模型。本文所使用的模型能夠更好的捕捉到所觀測的信用利差的變化特性,這個模型提供了一個便于計算隨機波動率(可以由觀察到的離散時間段下歷史資產(chǎn)價格來估計)下歐式期權(quán)的定價公式,專家分析了在標普500指數(shù)下的期權(quán)利用單因素形式的GARCH模型對于Black-Scholes (1973)模型是一個實質(zhì)性的突破。 另外本文重點考慮Heston and Nandi's (1999)中的風險中性概率條件下,信用利差對數(shù)和條件方差成反比的情況下,得到信用利差歐式期權(quán)的閉解形式。
[Abstract]:In this paper, the use of Longstaff and Schwartz (1995) Nandi and Heston and the characteristics of mean reversion of credit spreads (1999) closed form solution of GARCH model with that credit spreads for European options. While credit spreads using the GARCH model, instead of using the traditional logarithmic normal distribution is the geometric Brown motion model. The model can better capture the variation characteristics of the observed credit spreads, the model provides a convenient calculation of stochastic volatility (discrete time can be observed by the history of asset prices to estimate the pricing formula of European option), the expert analysis in the S & P 500 index under option by using GARCH single factor model form for Black-Scholes (1973) model is a substantive breakthrough.
Besides, this paper focuses on the risk neutral probability of Heston and Nandi's (1999), and obtains the closed form of European options with credit spreads under the condition that the credit spreads and the conditional variance are inversely proportional to each other.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F830.9

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本文編號：1360219