摘要
本文以公司价值信用风险模型为基础,讨论脆弱期权定价问题,将具有信用风险的期权最终执行情况与交易对手的公司价值和负债联系起来,建立了标的资产价格服从跳—扩散过程的脆弱期权定价模型;在跳风险不可定价的假设下,推导出脆弱期权的定价公式。
In this paper, based on the credit risk models, we discuss the problem of vulnerable European option pricing, establish the connection between the exercise of the option involving credit risks and the counterparter's corporate value and debt, develop a model of option pricing when the stock price dynamics is a jump-diffusion process, and deduces the European option pricing formula when jump risk can't be priced.
出处
《工程数学学报》
CSCD
北大核心
2008年第6期1129-1132,共4页
Chinese Journal of Engineering Mathematics
基金
国家自然科学基金(70873113)
关键词
信用风险
脆弱期权定价
公司价值
公司负债
跳-扩散过程
credit risks
vulnerable european option pricing
corporate value
corporate debt
jumpdiffusion process