信用差价
- 网络credit spread
信用差价-
随机挽回率马尔可夫链模型下信用差价衍生品定价
The Valuation of Credit Spread Option under a Random Recovery Rate of Markov Chain Model
-
推导了基于均值回复特征与随机波动率的信用差价期权、信用差价上限与下限的定价公式。
As applications , pricing formulas for credit spread options , caps and floors are derived .
-
基于目前中国企业债券市场还不发达的现状无法直接获得债券的信用差价，所以运用银行间债券市场来代替，在市场有效的假设下可以完全的代替。
Based on the current China enterprise bond market still underdeveloped status can directly obtain bond credit , and so using market of the bond between the bank instead of effective market , on the assumption that market can completely replace .