| 信用价差的动态模型及其在期权定价中的应用 |
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| 引用本文： | 肖庆宪,肖喻. 信用价差的动态模型及其在期权定价中的应用[J]. 上海理工大学学报(社会科学版), 2007, 29(3): 223-226 |
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| 作者姓名： | 肖庆宪 肖喻 |
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| 作者单位： | 上海理工大学管理学院 上海200093 |
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| 基金项目： | 上海市重点学科建设项目;上海市社会科学基金 |
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| 摘 要： | 建立了国内企业债券信用价差的动态模型,并利用市场数据进行了实证分析.研究发现,国内企业债券具有明显的均值回复特性.作为模型的应用,本文还导出了信用价差期权的定价公式.
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| 关 键 词： | 信用价差 Vasicek模型 期限结构 均值回复 信用价差期权 |
| 修稿时间： | 2006-09-01 |
Dynamic models of credit spreads and their applications to pricing options |
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| XIAO Qing-xian,XIAO Yu. Dynamic models of credit spreads and their applications to pricing options[J]. Journal of University of Shanghai For Science and Technilogy(Social Science), 2007, 29(3): 223-226 |
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| Authors: | XIAO Qing-xian XIAO Yu |
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| Affiliation: | Business School, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | Dynamic models of credit spreads of Chinese corporate bonds are presented.Empirical analyses are also conducted.The results indicate that the mean-reversion behavior of credit spreads of Chinese corporate bonds is significant.The formula for pricing credit spread options is deduced. |
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| Keywords: | credit spread Vasicek model term structure meanreversion credit spread option |
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