不完全市场下有违约风险的欧式期权定价

Pricing of European option subject to default risk in incomplete markets

为了研究不完全市场对有违约风险欧式期权定价的影响,结合 Klein 的有违约风险期权处理方法和 Co-chrane 与 Saa-Requejo 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一般化定价公式的特例.结果表明定价公式结合了上述两个模型的优点,因此特别适合于给基于不可交易资产有违约风险期权定价.

In order to analyze the effects of incomplete markets on the European option, combining the models of Klein and Cochrane ＆ Saa-Requejo, a general pricing formula is given about the Euro- pean option under the condition of incomplete market and default risk. Furthermore, a number of special cases of the general model are also derived, and it is shown that other pricing formulae can be expressed as special cases of the general pricing formula. The conclusion shows that the proposed formula incorporates the advantages of both models and is better able to price non-traded assets based European options with default risk.