题名

Pricing and Hedging Strategies of Vulnerable Black-Scholes Option on Defaultable Securities Subject to the Intersection of Market and Credit Risk

并列篇名

市場與信用風險交互影響下風險性證券之易脆選擇權的評價避險

DOI

10.6160/2014.12.01

作者

陳昌志(Chang-Chih Chen)；張嘉倩(Chia-Chien Chang)；王昭文(Chou-Wen Wang)；徐守德(So-De Shyu)

关键词

混合選擇權 ； 標的資產違約風險 ； 交易對手違約風險 ； 自發性違約強度 ； Hybrid Options ； Reference Risk ； Counterparty Risk ； spontaneous default intensity

期刊名称

中山管理評論

卷期/出版年月

22卷4期（2014 / 12 / 01）

页次

673 - 710

内容语文

英文
中文摘要

本文旨在探究當存在市場與信用風險之交互影響下風險性證券之易脆選擇權的評價與避險。本文模型假設違約強度函數服從二因子Cox過程，並同時考量交易對手與標的資產違約風險間的交互性。本研究呈現之結果如下：首先，交易對手違約風險導致了權證價格上的信用折耗；然而，標的資產違約風險對選擇權價值產生信用補貼。標的資產違約風險效果明顯占優於對手違約風險效果。其次，此兩不同種類違約風險對權證避險比率亦造成截然不同之影響。究其原因，標的資產違約風險對權證所造成之不對稱影響係因正向「槓桿效果」與負向「提前保值效果」之間的抵換均衡於買權與賣權此二情況下並非一致所導致。另外，給定不同水準下的總體經濟變數，本文模型證實標的物違約風險效果與對手違約風險效果之間存在正向的共移性。此發現可對應實證文獻所探討的「信用感染」及「成串違約」等現象之經濟意義。
英文摘要

This paper derives the pricing formulas and put-call parity for ＂hybrid options＂ -vulnerable options on defaultable securities-with the presence of the intersection of market and twofold default risk. Default intensities are modeled as a two-factor Cox process, and the dependency of option writers' default on the underlying stock default is also captured. We find counterparty risk generates credit discount on option value, while reference risk generates credit premium. The latter significantly dominates the former. The impact of twofold default risk on option hedging ratios fails to replicate consistency in the price pattern. The asymmetric behavior of option deltas with respect to reference risk is attributed to the trade-off between negative early-fixed effect and positive leverage effect. Also, our model generates a positive co-movement between these two types of default risk impact with varied choices of economic variables. Such a model feature reflects the empirical implication of credit contagion as well as the clustering of default.
主题分类 社會科學 > 管理學
参考文献
  1. Altman, E. I.(1983).Corporate Financial Distress.New York:John-Wiley.
  2. Baldi, P.,Caramellino, L.,Gabriella-Lovino, M.(1999).Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations.Mathematical Finance,9(1),293-321.
  3. Barone, E.,Barone-Adesi, G.,Antonio, C.(1998).Pricing Bonds and Bond Options with Default Risk.European Financial Management,4(2),231-282.
  4. Campbell, J. Y.,Taksler, G. B.(2003).Equity Volatility and Corporate Bond Yields.Journal of Finance,58(6),2321-2349.
  5. Cetin, U.,Jarrow, R.,Protter, P.,Warachka, M.(2006).Pricing Options in an Extended Black-Scholes Economy with Illiquidity: Theory and Empirical Evidence.The Review of Financial Studies,19(2),493-529.
  6. Chen, H.(2010).Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure.Journal of Finance,65(6),2171-2212.
  7. Chen, H.,Miao, J.,Wang, N.(2010).Entrepreneurial Finance and Nondiver-sifiable Risk.Review of Financial Studies,23(12),4348-4388.
  8. Duffee, G.(1998).The Relation between Treasury Yields and Corporate Bond Yield Spreads.Journal of Finance,53(6),2225-2241.
  9. Geman, H.,Yor, M.(1996).Pricing and Hedging Double-Barrier Options: A Probabilistic Approach.Mathematical Finance,6(4),365-378.
  10. Guillaume, T.(2003).Window Double Barrier Option.Review of Derivatives Research,6(1),47-75.
  11. Hackbarth, D.,Miao, J.,Morellec, E.(2006).Capital Structure, Credit Risk, and Macro- economic Conditions.Journal of Financial Economics,82(3),519-550.
  12. Heath, D.,Jarrow, R.,Morton, A.(1992).Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.Econometrica,60(1),77-105.
  13. Heston, S.(1993).A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.The Review of Financial Studies,6(2),327-343.
  14. Huang, J. Z.,Kong, W.(2003).Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes.The Journal of Derivatives,11(1),30-44.
  15. Huffman, L.(1983).Operating Leverage, Financial Leverage, and Equity Risk.Journal of Banking and Finance,7(2),197-212.
  16. Hui, C. H.,Lo, C. F.,Lee, H. C.(2003).Pricing Vulnerable Black-Scholes Option with Dynamic Default Barriers.The Journal of Derivatives,10(2),62-69.
  17. Hull, J.,White, A.(1995).The Impact of Default Risk on the Price of Options and Other Derivative Securities.Journal of Banking and Finance,19(1),299-322.
  18. Hung, M. W.,Liu, Y. H.(2005).Pricing Vulnerable Options in Incomplete Markets.Journal of Futures Markets,25(1),135-170.
  19. Jarrow, R.,Turnbull, S.(1995).Pricing Derivatives on Financial Securities Subject to Credit Risk.Journal of Finance,50(1),53-85.
  20. Jarrow, R.,Turnbull, S.(2000).The Intersection of Market and Credit Risk.Journal of Banking and Finance,24(1-2),271-299.
  21. Jarrow, R.,Yu, F.(2001).Counterparty Risk and the Pricing of Defaultable Securities.Journal of Finance,56(5),1765-1799.
  22. Johnson, H.,Stulz, R. M.(1987).The Pricing of Option with Default Risk.Journal of Finance,42(2),267-280.
  23. Jorion, P.,Zhang, G.(2009).Credit Contagion from Counterparty Risk.Journal of Finance,64(5),2053-2087.
  24. Kao, D. L.(2000).Estimating and Pricing Credit Risk: An Overview.Financial Analysts Journal,56(4),50-66.
  25. Klein, P.(1996).Pricing Black-Scholes Options with Correlated Credit Risk.Journal of Banking and Finance,20(7),1211-1229.
  26. Klein, P.,Inglis, M.(2001).Pricing Vulnerable European Options when the Option's Payoff can Increase the Risk of Financial Distress.Journal of Banking and Finance,25(5),993-1012.
  27. Klein, P.,Inglis, M.(1999).Valuation of European Options Subject to Financial Distress and Interest Rate Risk.The Journal of Derivative,6(1),44-56.
  28. Kraft, H.,Steffensen, M.(2007).Bankruptcy, Counterparty Risk, and Contagion.Review of Finance,13(4),209-252.
  29. Kunitomo, N.,Ikeda, M.(1992).Pricing Options with Curved Boundaries.Mathematical Finance,2(4),275-298.
  30. Kusuoka, S.(1999).A Remark on Default Risk Model.Advanced Mathematical Economics,1(1),69-82.
  31. Lando, D.(1998).On Cox Processes and Credit Risky Securities.Review of Derivatives Research,3(2-3),99-120.
  32. Leland, H.(1994).Corporate Debt Value, Bond Covenants, and Optimal Capital Structure.Journal of Finance,49(4),1213-1252.
  33. Liao, S. L.,Wang, C. W.(2002).Pricing Arithmetic Average Reset Option with Control Variates.The Journal of Derivatives,10(2),59-74.
  34. Lo, C. F.,Hui, C. H.(2007).Valuing Double Barrier Options with Time- Dependent Parameters by Fourier Series Expansion.International Journal of Applied Mathematics,36(1),1-5.
  35. Maia, M. V.(2010).University of Pennsylvania.
  36. Merton, R.(1974).On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.Journal of Finance,29(2),449-470.
  37. Merton, R.(1976).Option Pricing When Underlying Stock Returns are Discontinuous.Journal of Financial Economics,3(1-2),125-144.
  38. Musiela, M.,Rutkowski, M.(1997).Martingale Method in Financial Modeling.Berlin, DE:Springer.
  39. Pelsser, A.(2000).Pricing Double Barrier Options Using Laplace Transforms.Finance and Stochastics,4(1),95-104.
  40. Rich, D.(1996).The Valuation and Behavior of Black-Scholes Options Subject to Intertemporal Default Risk.Review of Derivatives Research,1(1),25-59.
  41. Scott, L.(1987).Option Pricing When the Variance Changes Randomly: Theory, Estimation, and an Application.The journal of Financial and Quantitative Analysis,22(4),419-438.
  42. Wilson, T. C.(1997).Portfolio credit risk.Risk,10(10),56-61.
  43. Wilson, T. C.(1997).Portfolio credit risk.Risk,10(9),111-117.
print cancel