在 GARCH-Jump 模型下为具有违约风险的篮子价差期权定价

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-02-18 DOI:10.1002/fut.22574

Dingding Dong, Xianda Qian, Xingchun Wang

{"title":"在 GARCH-Jump 模型下为具有违约风险的篮子价差期权定价","authors":"Dingding Dong, Xianda Qian, Xingchun Wang","doi":"10.1002/fut.22574","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>In this article, we consider basket spread options with default risk in a pricing model, where GARCH-jump processes are employed to describe the dynamics of all the underlying assets, and default risk is incorporated in a reduced form model. After successfully deriving the approximate pricing formula, we utilize the average cumulative default rates provided by Moody's spanning from 1970 to 2015 to estimate the parameters in the default intensity. Finally, we illustrate the impact of jump risk and default risk on basket spread options after checking the accuracy and efficiency of the approximate prices via Monte Carlo simulation methods.</p>\n </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"441-454"},"PeriodicalIF":1.8000,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing Basket Spread Options With Default Risk Under GARCH-Jump Models\",\"authors\":\"Dingding Dong, Xianda Qian, Xingchun Wang\",\"doi\":\"10.1002/fut.22574\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div>\\n \\n <p>In this article, we consider basket spread options with default risk in a pricing model, where GARCH-jump processes are employed to describe the dynamics of all the underlying assets, and default risk is incorporated in a reduced form model. After successfully deriving the approximate pricing formula, we utilize the average cumulative default rates provided by Moody's spanning from 1970 to 2015 to estimate the parameters in the default intensity. Finally, we illustrate the impact of jump risk and default risk on basket spread options after checking the accuracy and efficiency of the approximate prices via Monte Carlo simulation methods.</p>\\n </div>\",\"PeriodicalId\":15863,\"journal\":{\"name\":\"Journal of Futures Markets\",\"volume\":\"45 5\",\"pages\":\"441-454\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2025-02-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Futures Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/fut.22574\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22574","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

在本文中，我们在定价模型中考虑具有违约风险的一篮子价差期权，其中GARCH-jump过程用于描述所有基础资产的动态，并将违约风险纳入简化形式模型中。在成功推导出近似定价公式后，我们利用穆迪提供的1970年至2015年的平均累积违约率来估计违约强度中的参数。最后，通过蒙特卡罗模拟方法检验了近似价格的准确性和效率，说明了跳跃风险和违约风险对一篮子价差期权的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Pricing Basket Spread Options With Default Risk Under GARCH-Jump Models

In this article, we consider basket spread options with default risk in a pricing model, where GARCH-jump processes are employed to describe the dynamics of all the underlying assets, and default risk is incorporated in a reduced form model. After successfully deriving the approximate pricing formula, we utilize the average cumulative default rates provided by Moody's spanning from 1970 to 2015 to estimate the parameters in the default intensity. Finally, we illustrate the impact of jump risk and default risk on basket spread options after checking the accuracy and efficiency of the approximate prices via Monte Carlo simulation methods.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.