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Indexed by:会议论文

Date of Publication:2012-01-01

Included Journals:CPCI-SSH

Page Number:23-+

Key Words:Finance; Credit spread options; Stochastic process; Pricing model

Abstract:This paper reviews and analyzes four pricing models for credit options: Longstaff-Schwartz models, Das-Sundaram models, GARCH-based models and affine models. The first two models, Longstaff-Schwartz and Das-Sundaram, assume that the log spread follows a lognormal distribution, and price.the credit spread options based on the so-called "spread models". These models belong to the class of structure models. GARCH model is assumed a discrete time when pricing the credit spread options. Finally, we consider the affine model, which belongs to reduced models, of the credit spread options pricing.