This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied t...This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.71171012and 70901019Humanity and Social Science Foundation of Ministry of Education of China under Grant No.14YJA790075
文摘This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.
