服从连续扩散过程的脆弱欧式看涨期权股价的风险度量

Risk Measurement of Vulnerable European Call Options with Stock Price Following Continuous Diffusion Process

在股票价格、公司价值均服从连续扩散过程且公司负债为常数的情形下,给出了标的资产价格服从连续扩散过程的脆弱欧式看涨期权的VaR和CvaR的计算公式。

On condition that stock price and company value are subject to continuous-diffusion process and that company＇s liabilities are constant, VaR and CVaR calculation formulas of Vulnerable European stock option are given in this paper.