信用价差期权（Credit Spread Option）是用以向投资者补偿参照资产违约风险的、高于无风险利率的利差，其计算公式为：信用价差=贷款或证券收益率 - 相应的无风险收益率 信用价差增加表明贷款信用状况恶化，减少则表明贷款信用状况提高。信用价差期权假定市场利率变动时，信用敏感性债券与无信用风险债券的收益率...
The Valuation of Credit Spread Option under a Random Recovery Rate of Markov Chain Model; 通过假设随机挽回率,扩展了Jarrow,L ando和T urnbu l(1997)[2]的马尔可夫链模型,得到有违约风险零息债券与信用衍生品的定价公式,并一般化了K ijim a和K om oribayash i(1998)[3]模型中的风险贴水调整,进一步...
Credit Spread Optiondoi:10.1007/0-387-26336-5_524Option whose payoff depends on the spread between the yields earned on two assets. Options can be written on many spread: bond spreads, credit default swap spreads, and asset swap spreads.Springer USEncyclopedia of Finance...
In the financial world, a credit spread option (also known as a "credit spread") is an options contract that includes the purchase of one option and the sale of a second similar option with a different strike price. Effectively, by exchanging two options of the same class and expiration, ...
1) credit spread 信用差价 2) Credit Spread Option 信用差价期权 1. As applications,pricing formulas for credit spread options,caps and floors are derived. 为了研究均值回复特征与随机波动率对金融衍生品定价的影响,考虑状态变量的均值回复特征与两种随机波动率过程:平方根过程与O rnste in-U h lenbeck过程...
Tahani, Nabil (2006), "Credit Spread Option Valuation under GARCH", The Journal of Derivatives, Fall 2006, Vol. 14, No. 1: pp. 27-39Nabil Tahani.Credit Spread Option Valuation under GARCH. Journal of Derivatives . 2006Tahani, N. (2006), "Credit Spread Option Valuation under GARCH", ...
18. Credit spread option pay off 的计算 Schweser notes 3 / page 125 19. Cash CDOs and synthetic CDOs 区别 In Cash CDOs , the issuer directly buys the actual securities 20. BISTRO 和 j-port区别 Both are synthetic structures. Pls refer to Schweser note 3 / page 138-139 ...
An Introduction to Credit Spread Options A credit spread option is an option on a particular borrower's credit spread. The credit spread is the difference between the yield on the borrower's debt (in the loan or bond market) and the yield on Treasury debt of the same maturity. ... JD ...
A credit spread can also refer to an options strategy where a high premium option is written, and a low premium option is bought on the same underlying security. A credit spread options strategy should result in a net credit, the maximum profit a trader can make. ...