摘要翻译:
本文通过建立一个基于二叉树的信用风险可转换债券定价模型,填补了可转换债券定价领域的一个重要空白。该模型属于股权-信用风险框架。我们证明了该模型在连续时间内收敛于Ayache,Forsyth和Vetzal[2003]所建立的模型。为此,本文考虑了两种信用风险模型,即所谓的简化(基础违约强度恒定模型)和所谓的综合(基础违约强度可变模型)。我们强调并量化了出现的某些问题,如转移概率分析和模型输入的阈值(树步、基础股票价格等)。本研究可作为发展Ayache等人的价格动力学模型的一种替代方式。[2003]针对信用风险环境下的可转换债券。
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英文标题:
《Binomial Tree Model for Convertible Bond Pricing within Equity to Credit
Risk Framework》
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作者:
K. Milanov, O. Kounchev
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最新提交年份:
2012
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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:
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show that this model converges in continuous time to the model developed by Ayache, Forsyth and Vetzal [2003]. To this end, both forms of credit risk modeling, the so-called reduced (constant intensity of default model for the underlying) and the so-called synthesis (variable intensity of default model for the underlying) are considered. We highlight and quantify certain issues that arise, as transition probability analysis and threshold values of model inputs (tree step, underlying stock price, etc.). This study may be considered as an alternative way to develop the price dynamics model of Ayache et al. [2003] for convertible bonds in credit risk environment.
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PDF链接:
https://arxiv.org/pdf/1206.1400