不完全市场下有违约风险的欧式期权定价

THE VALUATION OF EUROPEAN OPTION SUBJECT TO DEFAULT RISK IN INCOMPLETE MARKETS

本文考虑不完全市场条件下,结合klein(1996)的有违约风险处理方法和Cochrane与Saá-Requejo(2000)的不完全市场处理方法给有违约风险的欧式期权定价,得到不完全市场下有违约风险欧式期权的一般化定价公式,进一步推导出一些特定欧式期权的定价公式,并指出这些公式均为本文公式的特例.

Combining the framework of. klein（1996） and J. H. Cochrane ＆ J. Saá- Requejo （2000）, the general valuation framework in given about the Europe option under the condition of incomplete market and default risk, Furthermore, We also derive a number of special cases of the general model, and show that other pricing solutions in the literature can be expressed as special cases of our formulas.