论文标题
在由Heston-Nandi Garch流程驱动的混合信用风险模型中定价脆弱的选择
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
论文作者
论文摘要
本文提出了一种以封闭形式的混合信用风险模型，以使用随机波动性的价格易受伤害。模型的独特特征是三倍。首先，基础和期权发行人的资产都遵循Heston-Nandi Garch模型，其条件差异很容易被估算并仅基于市场上可观察到的价格实施。其次，该模型将特质和系统的风险同时纳入了基础和期权发行人的资产动态以及强度过程。最后，易受伤害的选项的明确定价公式使我们能够进行比较统计分析。
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First, both the underlying and the option issuer's assets follow the Heston-Nandi GARCH model with their conditional variance being readily estimated and implemented solely on the basis of the observable prices in the market. Second, the model incorporates both idiosyncratic and systematic risks into the asset dynamics of the underlying and the option issuer, as well as the intensity process. Finally, the explicit pricing formula of vulnerable options enables us to undertake the comparative statistics analysis.
