摘要
本文将随机波动期权定价封闭解模型扩展到多资产分析框架下.在考虑Cox-Rose模型多资产模拟以及随机波动矩阵的W ishart动态过程的基础上,将风险升水引入收益率方程,并将Merton模型下的公司违约风险扩展到随机分析框架下.最后利用数值模拟技术,对多资产随机分析模型的适用性及解的稳定性进行了模拟分析.其结果表明,多元随机波动模型对违约风险随机发生条件下的公司信用过程具有较之单元确定性模型更强的解释力.利用多资产模型,有助于金融机构更深入地把握企业信用体系中资产价值和负债的动态联动关系,对金融机构的信用风险管理具有十分重要的意义.
This paper extends the closed-form solution for options with stochastic volatility to the multi-asset framework,And introduces a risk premium into the return equation and considers Wishart dynamics for the process of the stochastic volatility matrix,which is the multi-asset analogue of the model of Cox and Ross.Moreover,it extends Merton＇s model for corporate default to a framework with stochastic liability.At last,we analyze the applicability and stability of the solutions by numerical simulation.The results show that the multivariate stochastic volatility model could explain the credit of corporations under condition of stochastic default risk more distinctly.Multi-assets model helps us to deeply capture the dynastic correlationship between value of corporation＇s assets and the loans,which is much important to the risk management of financial institution.
出处
《管理科学学报》
CSSCI
北大核心
2010年第10期55-62,共8页
Journal of Management Sciences in China
基金
国家重大社会科学基金资助项目(08&09ZD029)
国家社科基金重点课题(08AJL003)
湖南省软科学课题资助项目(2008ZK3126)
湖南省企业管理与投资研究基地资助项目
