1) Credit Spread Option
信用差价期权
1.
As applications,pricing formulas for credit spread options,caps and floors are derived.
为了研究均值回复特征与随机波动率对金融衍生品定价的影响,考虑状态变量的均值回复特征与两种随机波动率过程:平方根过程与O rnste in-U h lenbeck过程,应用解偏微分与特征函数方法,分析衍生品的定价方程,推导出基于均值回复特征与随机波动率的信用差价期权、信用差价上限与下限的定价公式。
2.
The Valuation of Credit Spread Option under a Random Recovery Rate of Markov Chain Model;
通过假设随机挽回率,扩展了Jarrow,L ando和T urnbu l(1997)[2]的马尔可夫链模型,得到有违约风险零息债券与信用衍生品的定价公式,并一般化了K ijim a和K om oribayash i(1998)[3]模型中的风险贴水调整,进一步给出信用差价期权的定价公式。
2) spreads option
差价期权
1.
Probability analysis on trading stratege of stock spreads option;
股票差价期权交易策略的概率分析
3) credit spread
信用价差
1.
Dynamic models of credit spreads and their applications to pricing options;
信用价差的动态模型及其在期权定价中的应用
2.
Credit Spread Curve of Corporate Bond:Shape and Policy Implication
企业债信用价差曲线形态验证与政策启示
3.
By the means of the stochastic analysis theory for Levy process,we get the explicit formula of default probability,bond price and the credit spread.
利用Levy过程随机分析理论,得到企业的违约概率、债券价值和信用价差的解析表达式,它是经典的信用风险结构化模型的推广。
4) credit option
信用期权
5) interest rate spread options
利率差价期权
1.
We derive a closed-form of pricing formula of an interest rate spread options under a multi-factor Heath-Jarrow-Morton (HJM) term structure framework, which shows that the introduction of the imperfect interest rates movements is essential for pricing such option, for which a single-factor model such as Ho and Lee (1985) model should not .
在一个多因素HJM框架之下本文获得了这种利率差价期权的精确的定价公式。
6) American spread option
美式差价期权
1.
And an American spread option is a special American option written on the difference of two underlying assets, known as the spread.
而美式差价期权是一种以两个原生资产的价格差(即所谓差价)作为标的资产的特殊的美式期权。
补充资料：掉期差价
掉期差价
【掉期差价】不同交割期限的同一笔外汇买进价和卖出价之间的差价。有即期对远期掉期、明日对后天掉期、远期对远期掉期等三种形式的汇率差价。掉期差价表示有关两种外汇的利率差额，其利率变动将自然地改变掉期汇价的结构。但在某些情况下，则是后者的变动影响前者。在掉期业务中，使用交叉相减的方法计算利率差。利率高的远期汇率处于贴水地位，利率低的货币远期汇率处于升水地位。由于利率交叉相减的缘故，头价贴承人丁头别用水，买价升水小于卖价升水。第一个远期差价是即期卖出价格与远期买人价格之差，第二个远期差价是即期买人价格与远期卖出价格之差。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条