Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

被引：0
|
作者：
Rongxi Zhou
Sinan Du
Mei Yu
Fengmei Yang
机构：
[1] Beijing University of Chemical Technology,School of Economics and Management
[2] University of International Business and Economics,Research Center for Applied Finance, School of Finance and Banking
[3] Beijing University of Chemical Technology,School of Science
来源：
Journal of Systems Science and Complexity | 2015年 / 28卷
关键词：
Credit spread option; Longstaff-Schwartz model; GARCH model; pricing;
D O I：
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中图分类号：
学科分类号：
摘要：
This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.
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页码：1363 / 1373
页数：10
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