带跳的信用价差期权定价模型被引量：2

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摘要重大风险事件带来风险资产信用价差的跳跃性波动,基于这种现象,本文用带跳的指数O-U过程来刻画信用价差的动态过程,并得到了信用价差期权的定价公式。

作者胡新华叶中行白云芬

机构地区北京大学光华管理学院上海交通大学数学系现代金融研究中心

出处《统计与决策》 CSSCI 北大核心 2007年第16期36-37,共2页 Statistics & Decision

基金国家自然科学基金资助项目(70671069)

关键词信用价差期权期权定价跳跃指数O-U过程

参考文献10

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7刘艳萍,李欢欢.基于Poisson跳跃的信用价差期权定价[J].技术经济与管理研究,2013(11):19-23. 被引量：2
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9周荣喜,熊亚辉,刘衡艺.中美两国公司债信用利差动态过程比较研究[J].数学的实践与认识,2019,49(9):63-69. 被引量：3

统计与决策

2007年第16期

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