摘要
提出了一种基于柳树状结构快速计算带有错向风险的信用估值调整的算法,并利用信用违约互换价差数据校准违约概率,以几何布朗运动和跳扩散模型下欧式和百慕大股票期权的数值实验为例,表明柳树法与现有方法相比有相同的计算精度,但计算速度更快.
An efficient willow tree algorithm is proposed to price CVA(credit valuation adjustment) with WWR(wrong way risk), which can also calibrate the default probability by credit swap spreads. Besides, some numerical experiments are presented to illustrate the accuracy and efficiency of the proposed method.
作者
王光光
许威
WANG Guangguang;XU Wei(School of Mathematical Sciences,Tongji University,Shanghai 200092,China)
出处
《同济大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2019年第11期1656-1663,共8页
Journal of Tongji University:Natural Science
基金
国家自然科学基金面上项目(71771175)
关键词
期权定价
柳树法
信用估值调整
错向风险
option pricing
willow tree method
credit valuation adjustment(CVA)
wrong way risk
