修改Hull-White模型評價固定期間信用違約交換與信用違約交換選擇權

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賴書儀(Shu-Yi Lai) 查詢紙本館藏

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財務金融學系

論文名稱

修改Hull-White模型評價固定期間信用違約交換與信用違約交換選擇權
(CMCDS and CDS Option Valuation under the Modified Hull-White Model)

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摘要(中)

本文的目的在評價兩種信用衍生性商品: 違約交換選擇權與固定期間信用違約交換。本研究假設違約強度服從一動態隨機過程, 並利用Hull-White單因子三元樹狀模型評價信用衍生性商品, 以信用違約交換之市場報價隱含的違約強度校準模型, 進而分析回復率、違約強度波動度對信用違約交換選擇權之敏感度, 並比較歐式及百慕達式選擇權之價格差異。此外, 本研究分析違約強度曲線之斜率
變動及波動度對固定期間信用違約交換之影響。

摘要(英)

The purpose of this study is to price two kinds of exotic credit derivatives: credit default swap (CDS) options, and constant maturity credit default swaps (CMCDS). We adopt a modified Hull and White one factor trinomial lattice to model for the stochastic default intensity. We calibrate our model to the implied default intensity, which are calculated using the CDS market quotes. Moreover, we conduct sensitivity analysis for recovery rate, intensity volatility on CDS option, and compare prices of European and Bermudan option. Finally, we study the impact of the sensitivity of default intensity curve and volatility on the price of CMCDS.

關鍵字(中)

★ 信用違約交換選擇權
★ Hull-White 模型
★ 固定期間信用違約交換
★ 信用違約交換

關鍵字(英)

★ CMCDS
★ CDS option
★ Hull-White model
★ CDS

論文目次

List of Figures V
List of Tables VI
1 Introduction 1
2 Literature Review 4
3 Model Assumptions 7
3.1 The Default Intensity Process and the Implied Survival Curve . . . . 7
3.2 The Modified Hull-White Model . . . . . . . . . . . . . . . . . . . . . 9
4 Pricing 15
4.1 CDS options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
4.2 CMCDS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
5 Numerical Results 20
5.1 The Analysis of CDS Option . . . . . . . . . . . . . . . . . . . . . . . 22
5.2 The Analysis of CMCDS . . . . . . . . . . . . . . . . . . . . . . . . . 26
6 Conclusion 31
Reference 32

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指導教授

岳夢蘭(Meng-Lan Yueh)

審核日期

2007-7-14

推文