在赫斯顿赫尔-怀特模型下百慕大和障碍期权的敞口剖面和希腊的蒙特卡罗计算

Qian Feng, C. Oosterlee
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引用次数: 4

摘要

信贷估值调整(CVA)的估值在信贷危机后的2010年发布的《巴塞尔协议III》中被要求进行计算,因此成为一个重要的领域。风险敞口被定义为违约事件在没有任何恢复的情况下的潜在未来损失,是CVA定价的关键因素之一。本文提供了一个反向动态框架,用于评估Heston和Heston Hull-White资产动态下欧洲、百慕大和障碍期权的风险敞口概况。我们讨论了一种有效的、自适应的蒙特卡罗方法——随机网格捆绑法(SGBM)的潜力,它采用了模拟、回归和捆绑技术。暴露剖面的希腊值可以在相同的反向迭代中计算,几乎不需要额外的努力。假设违约事件和风险敞口之间的独立性,我们给出了百慕大和障碍期权的风险敞口、CVA和希腊的计算示例。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure, which is defined as the potential future loss of a default event without any recovery, is one of the key elementsfor pricing CVA. This paper provides a backward dynamics framework for assessing exposure profiles of European, Bermudan and barrier options under the Heston and Heston Hull-White asset dynamics. We discuss the potential of an efficient and adaptive Monte Carlo approach, the Stochastic Grid Bundling Method}(SGBM), which employs the techniques of simulation, regression and bundling. Greeks of the exposure profiles can be calculated in the same backward iteration with little extra effort. Assuming independence between default event and exposure profiles, we give examples of calculating exposure, CVA and Greeks for Bermudan and barrier options.
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