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摘要翻译：
我们将Black和Cox的经典结构性信用建模方法扩展到一类“双因素”模型，这些模型统一了股票价格上的期权等权益证券，以及债券和信用违约互换等信用产品。在我们的方法中，假定公司资产负债表的两个方面，即资产价值和债务价值遵循二维马尔可夫过程。在这类模型中，我们发现了衍生品定价公式的例子，这些公式能够再现众所周知的股票模型如方差伽马模型的主要特征，同时再现信贷风险结构模型产生的违约的程式化事实。此外，与单因素结构模型相比，这些模型允许股票和信贷市场之间更加灵活的依赖。本文克服了有效实施这些定价公式的两个主要技术障碍。第一个障碍源于企业不违约所隐含的障碍条件，并被时变布朗运动的思想所克服，这种思想保留了布朗运动的反射原理。第二个障碍是计算扩散选项的困难：这是通过使用最近有效利用二维快速傅立叶变换的论文中的结果来克服的。
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英文标题：
《Two-factor capital structure models for equity and credit》
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作者：
Thomas R. Hurd and Zhuowei Zhou
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default swaps. In our approach, the two sides of the stylized balance sheet of a firm, namely the asset value and debt value, are assumed to follow a two dimensional Markov process. Amongst models of this type we find examples that lead to derivative pricing formulas that are capable of reproducing the main features of well known equity models such as the variance gamma model, and at the same time reproducing the stylized facts about default stemming from structural models of credit risk. Moreover, in contrast to one-factor structural models, these models allow for much more flexible dependence between equity and credit markets. Two main technical obstacles to efficient implementation of these pricing formulas are overcome in our paper. The first obstacle stems from the barrier condition implied by the non-default of the firm, and is overcome by the idea of time-changing Brownian motion in a way that preserves the reflection principle for Brownian motion. The second obstacle is the difficulty of computing spread options: this is overcome by using results in recent papers that make efficient use of the two dimensional Fast Fourier Transform.
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PDF链接：
https://arxiv.org/pdf/1110.5846
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