本文選題：隨機波動 + 衍生定價　； 參考：《管理科學學報》2010年10期

【摘要】：本文將隨機波動期權定價封閉解模型擴展到多資產分析框架下.在考慮Cox-Rose模型多資產模擬以及隨機波動矩陣的W ishart動態(tài)過程的基礎上,將風險升水引入收益率方程,并將Merton模型下的公司違約風險擴展到隨機分析框架下.最后利用數(shù)值模擬技術,對多資產隨機分析模型的適用性及解的穩(wěn)定性進行了模擬分析.其結果表明,多元隨機波動模型對違約風險隨機發(fā)生條件下的公司信用過程具有較之單元確定性模型更強的解釋力.利用多資產模型,有助于金融機構更深入地把握企業(yè)信用體系中資產價值和負債的動態(tài)聯(lián)動關系,對金融機構的信用風險管理具有十分重要的意義.
[Abstract]:In this paper, the closed solution model of stochastic volatility option pricing is extended to the framework of multi-asset analysis. On the basis of considering the multi-asset simulation of Cox-Rose model and the W ishart dynamic process of stochastic volatility matrix, the risk rising water is introduced into the yield equation, and the corporate default risk under the Merton model is extended to the framework of stochastic analysis. Finally, the applicability and stability of the multi-asset stochastic analysis model are simulated by numerical simulation technology. The results show that the multivariate stochastic volatility model is more powerful than the unit deterministic model in explaining the corporate credit process under the condition of random occurrence of default risk. The use of multi-asset model is helpful for financial institutions to grasp the dynamic linkage between assets value and liabilities in the enterprise credit system, and it is of great significance to the credit risk management of financial institutions.
【作者單位】： 中南大學商學院;長沙理工大學經(jīng)濟與管理學院;
【基金】：國家重大社會科學基金資助項目(08&09ZD029) 國家社科基金重點課題(08AJL003) 湖南省軟科學課題資助項目(2008ZK3126) 湖南省企業(yè)管理與投資研究基地資助項目
【分類號】：F830.9;F224

【參考文獻】

相關期刊論文 前5條

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本文編號：1861615