标的资产价格服从跳—扩散过程的脆弱期权定价模型

Vulnerable European Option Pricing Models when Underlying Assert Returns are Jump-diffusion Processes

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.