The valuation of swaption with counterparty risk under a multi-factor time-varying Markov chain model
多因素时变Markov链模型下考虑信用风险的互换期权定价

This paper suggests a time-varying Markov chain model with weighted common and rating specific factors as diffusion-like behavior in affine term structure framwork,which is applicable to pricing of swaption with counterparty risk.Based on monthly yield data of US Treasury for the period of Jan 1998 to Dec 2008 and Moody's rating data,Kalman filter and constrained nonlinear least square are used to estimate the models.The main results of this paper are:First,the model with common and rating specific factors ...