巴黎選擇權架構與跳躍擴散模型下之公司證券評價

A Parisian option framework for corporate security valuation under the double exponential jump diffusion process

張汶傑(Wen-Chieh Chang)

指導教授 ： 李漢星

國立交通大學/管理學院/財務金融研究所/碩士(2010年)

https://doi.org/10.6842/NCTU.2010.00276

摘要

估計違約風險是定價公司債、交換合約與信用衍生性金融商品的一個關鍵因素。2007年全球金融風暴過後，企業的違約風險更加受到學術界與實務界的重視，特別像是有些公司原本營運狀況良好，卻受到金融風暴影響而突然發生破產危機，因此，如何能夠準確的預測企業的違約風險比以往更受到重視。
本篇研究提出一種新的架構來評價公司證券，以結構性信用風險模型為基礎，加入了巴黎選擇權的架構，並且以跳躍擴散模型 (Kou 2002) 來當作評價公司市場價值的模型，此模型較之前文獻中的模型具有較彈性的參數設定，更符合實證上之需求。此外，我們並改善數值模擬方法以加快數值計算的速度，以此方法來估計公司債價值。

關鍵字

巴黎選擇權 ； 跳躍擴散模型 ； 蒙地卡羅模擬法 ； 結構性信用風險模型

並列摘要

After the worldwide financial crisis in 2007, credit risk of the company is getting vast attention not only from academic but also from people in practice. Specifically, many firms had good rating but suddenly default during the financial crisis. Hence, how to accurately model the default risk of the firm is a much more important issue nowadays.
In this paper, we develop a more efficient numerical simulation method to value the corporate risky bond. Our model employs the structural approach for valuing corporate bonds under the double exponential jump diffusion process (Kou 2002). This approach has more flexibility in matching the empirical data than previous models. In addition, to make our model more realistic, we adopt the caution time setting, which is parallel to the Parisian option in option pricing, to model the bond safety covenant.

並列關鍵字

Parisian option ； double exponential jump diffusion process ； Monte Carlo simulation ； structural credit risk model

參考文獻

Jarrow, R., D. Lando and S. Turnbull, 1997, A Markov model for the term structure of credit spreads, Review of Financial Studies 10, pp. 481-523.

Avellandeda, M. and L. Wu, 1999, Pricing Parisian-style options with a lattice method, International Journal of Theoretical and Applied Finance, Vol. 2, No. 1, pp. 1-16.

Beneish, M. and E. Press, 1995, Interrelation among events of default. Contemporary Accounting Research, Vol 12, No 1.

Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005, A new procedure for pricing Parisian options, Journal of Derivatives, 12, 4, pp. 45-55.

Black, F. and J. Cox, 1976, Valuing corporate securities: some effects of bond indenture provisions, The Journal of Finance, Vol. 31, No. 2, pp. 351-367.