摘要
主要利用公司价值模型将信用风险引入到变化类型权证期权定价中,通过鞅和概率的方法,推导出信用风险下的变化类型权证期权的定价公式,给出了更切合实际的期权定价.
The credit risk was introduced to the changed warrant options pricing through the corporation value model.Using the martingale pricing and probability methods,the pricing formula of the changed warrants subject to credit risk for a number of special cases was obtained,which is more realistic.
出处
《经济数学》
北大核心
2010年第4期45-51,共7页
Journal of Quantitative Economics
基金
国家自然科学基金(70671047)
安康学院高层次人才科研专项经费资助AYQDZR200911
关键词
信用风险
鞅
权证期权
credit risk
warrant option
martingale
