Credit Risk Pricing With Multivariate Stochastic Volatility

被引：0

作者：

Du, Jun ^{[1
]}

Liu, Yang ^{[1
]}

机构：

[1] Changsha Univ Sci & Technol, Changsha, Peoples R China

来源：

INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION, VOL 2, PROCEEDINGS | 2009年

关键词：

OPTIONS;

D O I：

10.1109/CSO.2009.50

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper extends to the multi-assets framework the closed-form solution for options with stochastic volatility derived in Heston(1993) and Ball and Roma(1994). This extension introduces a risk premium in the return equation and considers Wishart dynamics for the process of the stochastic volatility matrix, which is the multi-assets simulation of the model of Cox, Ingersoll, and Ross(1985). This approach is used to extend Merton's model for corporate default to a framework with stochastic liability.

引用

页码：526 / 530

页数：5

共 5 条

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