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首页> 外文期刊>The North American journal of economics and finance >The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs
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The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs

机译：Cox，Ross和Rubinstein树模型，其中包括交易对手信用风险和融资成本

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摘要

The binomial asset pricing model of Cox, Ross and Rubinstein (CRR) is extensively used for the valuation of options. The CRR model is a discrete analog of the Black-Scholes-Merton (BSM) model. The 2008 credit crisis exposed the shortcomings of the oversimplified assumptions of the BSM model. Burgard and Kjaer extended the BSM model to include adjustments such as a credit value adjustment (CVA), a debit value adjustment (DVA) and a funding value adjustment (FVA). The aim of this paper is to extend the CRR model to include CVA, DVA and FVA and to prove that this extended CRR model coincides with the model that results from discretising the Burgard and Kjaer model. Our results are numerically implemented and we also show that as the number of time-steps increase in the derived tree structure model, the model converges to the model developed by Burgard and Kjaer.
机译：Cox，Ross和Rubinstein（CRR）的二项式资产定价模型被广泛用于期权估值。 CRR模型是Black-Scholes-Merton（BSM）模型的离散模拟。 2008年的信贷危机暴露了BSM模型过分简化的假设的缺点。 Burgard和Kjaer扩展了BSM模型，以包括信用值调整（CVA），借方值调整（DVA）和资金价值调整（FVA）等调整。本文的目的是将CRR模型扩展到包括CVA，DVA和FVA，并证明该扩展的CRR模型与离散化Burgard和Kjaer模型所得到的模型一致。我们的结果在数值上得到实现，并且我们还表明，随着派生树结构模型中时间步数的增加，该模型收敛到Burgard和Kjaer开发的模型。

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