摘要翻译：
本文对CDO分阶段期权的价格边界进行了全面的分析，说明CDO分阶段期权的价格可以有效地由违约时间Copula的违约时间联合分布(JDDT)来限定。JDDT以外的系统性和特殊性因素只造成了有限的定价不确定性。由违约时间copula衍生出的分阶段期权的价格范围往往非常窄，尤其是对于资本结构的高级部分，市场对分阶段期权的兴趣最大。从违约时间copula开始的分阶段期权的价格边界通常可以半解析地计算出来，而不需要蒙特卡罗模拟，因此仅用从违约时间copula开始的价格边界对高级CDO分阶段期权进行定价和风险管理是可行的和实用的。CDO部分期权定价在许多实际情况下都很重要，如交易对手、缺口或清算风险；本文中描述的方法在上述情况下可能非常有用。
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英文标题：
《Valuation Bound of Tranche Options》
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作者：
Yadong Li and Ariye Shater
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default time (JDDT) from a default time copula. Systemic and idiosyncratic factors beyond the JDDT only contribute a limited amount of pricing uncertainty. The price bounds of tranche option derived from a default time copula are often very narrow, especially for the senior part of the capital structure where there is the most market interests for tranche options. The tranche option bounds from a default time copula can often be computed semi-analytically without Monte Carlo simulation, therefore it is feasible and practical to price and risk manage senior CDO tranche options using the price bounds from a default time copula only.   CDO tranche option pricing is important in a number of practical situations such as counterparty, gap or liquidation risk; the methodology described in this paper can be very useful in the above described situations.
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PDF链接：
https://arxiv.org/pdf/1004.1759