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研究生： 葉尚鑫
Ye, Shang Shin
論文名稱： 利用最小平方蒙地卡羅模擬法評價美式信用違約交換選擇權
Pricing American credit default swap options with least-square monte carlo simulation
指導教授： 廖四郎
Liao, Szu Lang
學位類別： 碩士
Master
系所名稱： 商學院 - 金融學系
Department of Money and Banking
論文出版年： 2008
畢業學年度： 96
語文別： 英文
論文頁數： 49
中文關鍵詞： 信用違約交換 、信用違約交換選擇權 、單期信用違約交換率 、最小平方蒙地卡羅法
外文關鍵詞： CDS option, one-period CDS spread
相關次數： 點閱：212  下載：83 
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    • 歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者可以只注意信用違約交換溢酬的變動，而不必擔心標的公司的倒閉風險。在這篇論文當中，我們結合最小平方法以及單期信用違約溢酬模型評價美式信用違約交換選擇權，其中單期信用違約溢酬模型是由布瑞格在2004年所發表的模型。本篇論文評價方法的最大優點在於此方法類似於利率理論的市場模型，因此我們可以利用類似的想法評價任何與信用違約交換合約相關的信用衍生性商品。

    The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so that they can focus on spread movements without worrying about default risk. In this paper, we price American CDS options with one-period CDS spread model presented by Brigo (2004). The primary advantage of this model is that it is similar to LIBOR market model in interest rate theory. Therefore, path-dependent CDS-related products can be easily priced with familiar ideas.

    I. Introduction.....................................1
    II. Literature Review...............................4
    2.1. Valuation models for credit default swaps......4
    2.2. Valuation models for European CDS options......7
    2.2.1. Hull and White (2002)........................7
    2.2.2. Brigo (2004).................................9
    2.3. Valuation method for American CDS options.....11
    III. Valuation Framework for CDS options...........13
    3.1. Dynamics of one-period forward CDS spreads....14
    3.2. Valuation framework for European CDS options..19
    3.3. Valuation framework for American CDS options..21
    under least-squares Monte Carlo simulation....26
    IV. Numerical Examples.............................26
    4.1. A comparison with the valuation models by
    Brigo (2004) and Hull and White (2002)........30
    4.2. A comparison among European, Bermudan and
    American CDS options..........................32
    4.3. Sensitivity analysis-changes in market quotes
    for CDS contracts.............................37
    4.4. Sensitivity analysis-changes in volatilities of
    one-period CDS spreads........................41
    V. Conclusion......................................45
    Reference.............................................47
    Appendix..............................................49

    1.Brigo, D., and Alfonsi, A. (2003), “Credit Default Swaps
    Calibration and Option Pricing with the SSRD
    Stochastic Intensity and Interest-Rate Model,”
    http://www.damianobrigo.it
    2.Brigo, D., (2005),”Constant Maturity CDS valuation with
    market models,” Risk Magazine, june issue.
    3.Brigo, D., Alfonsi, A., (2005) “Credit Default Swap
    Calibration and Derivatives Pricing with the SSRD
    Stochastic Intensity Model,” Finance and Stochastic,
    Vol. 9, N. 1.
    4.Ben A. H., Brigo, D., and Errais, E., (2006), “A Dynamic
    Programming Approach for Pricing CDS and CDS Options,”
    working paper.
    5.Hull, J., and White, A., (2003), “The Valuation of
    Credit Default Swap Options,” Journal of Derivatives,
    Vol.10, No.3,,1:40-50.
    6.Alan L. Tucker; Jason Z. Wei,(2005), Credit Default
    Swaptions. Journal of Fixed Incone, June.
    7.Brigo, D., and Morini, M., “CDS Market Formulas and
    Models,” In: Proceedings of the 18th Annual Warwick
    Options Conference, September 30, 2005, Warwick, UK.
    8.Longstaff F. A. and E. S. Schwartz (2001) “Valuing
    American Options by Simulation: A Simple Least-Squares
    Approach,” The Review of Financial Studies, Vol.14,
    No.1, 113-147.
    9.Hull, J. C. and A. White, “Valuing credit default swaps
    I: No counterparty default risk,”Journal of Derivatives,
    vol. 8, no. 1 (Fall 2000), pp 29-40.
    10.Krekel, M. and Wenzel, J., (2006), “A unified approach
    to Credit Default Swaption and Constant Maturity Credit
    Default Swap valuation,” Berichte des Fraunhofer ITWM,
    Nr. 96.
    11.Steven E. Shreve,(2003), “Stochastic Calculus for
    Finance II: Continuous-Time Models”, Springer Finance.
    12.Brigo, D. and Mercurio, F., (2006), ” Interest rate
    models-theory and practice,” Springer Finance.

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