政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34006

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34006

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/34006

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34006

Title:	利用最小平方蒙地卡羅模擬法評價美式信用違約交換選擇權 Pricing American credit default swap options with least-square monte carlo simulation
Authors:	葉尚鑫 Ye, Shang Shin
Contributors:	廖四郎 Liao, Szu Lang 葉尚鑫 Ye, Shang Shin
Keywords:	信用違約交換信用違約交換選擇權單期信用違約交換率最小平方蒙地卡羅法 CDS CDS option one-period CDS spread least-squares Monte Carlo simulation LIBOR market model
Date:	2007
Issue Date:	2009-09-17 19:04:45 (UTC+8)
Abstract:	歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者可以只注意信用違約交換溢酬的變動，而不必擔心標的公司的倒閉風險。在這篇論文當中，我們結合最小平方法以及單期信用違約溢酬模型評價美式信用違約交換選擇權，其中單期信用違約溢酬模型是由布瑞格在2004年所發表的模型。本篇論文評價方法的最大優點在於此方法類似於利率理論的市場模型，因此我們可以利用類似的想法評價任何與信用違約交換合約相關的信用衍生性商品。 The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so that they can focus on spread movements without worrying about default risk. In this paper, we price American CDS options with one-period CDS spread model presented by Brigo (2004). The primary advantage of this model is that it is similar to LIBOR market model in interest rate theory. Therefore, path-dependent CDS-related products can be easily priced with familiar ideas.
Reference:	1.Brigo, D., and Alfonsi, A. (2003), “Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model,” http://www.damianobrigo.it 2.Brigo, D., (2005),”Constant Maturity CDS valuation with market models,” Risk Magazine, june issue. 3.Brigo, D., Alfonsi, A., (2005) “Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model,” Finance and Stochastic, Vol. 9, N. 1. 4.Ben A. H., Brigo, D., and Errais, E., (2006), “A Dynamic Programming Approach for Pricing CDS and CDS Options,” working paper. 5.Hull, J., and White, A., (2003), “The Valuation of Credit Default Swap Options,” Journal of Derivatives, Vol.10, No.3,,1:40-50. 6.Alan L. Tucker; Jason Z. Wei,(2005), Credit Default Swaptions. Journal of Fixed Incone, June. 7.Brigo, D., and Morini, M., “CDS Market Formulas and Models,” In: Proceedings of the 18th Annual Warwick Options Conference, September 30, 2005, Warwick, UK. 8.Longstaff F. A. and E. S. Schwartz (2001) “Valuing American Options by Simulation: A Simple Least-Squares Approach,” The Review of Financial Studies, Vol.14, No.1, 113-147. 9.Hull, J. C. and A. White, “Valuing credit default swaps I: No counterparty default risk,”Journal of Derivatives, vol. 8, no. 1 (Fall 2000), pp 29-40. 10.Krekel, M. and Wenzel, J., (2006), “A unified approach to Credit Default Swaption and Constant Maturity Credit Default Swap valuation,” Berichte des Fraunhofer ITWM, Nr. 96. 11.Steven E. Shreve,(2003), “Stochastic Calculus for Finance II: Continuous-Time Models”, Springer Finance. 12.Brigo, D. and Mercurio, F., (2006), ” Interest rate models-theory and practice,” Springer Finance.
Description:	碩士國立政治大學金融研究所 94352016 96
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094352016
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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