期刊文献+

双跳-扩散过程下的脆弱期权定价 被引量:2

Vulnerable European Option Pricing for Two Jump-diffusion Processes
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摘要 该文考虑含有交易对手违约风险的衍生产品的定价,以公司价值信用风险模型为基础,在标的资产价格和公司价值均服从跳-扩散过程的情况下,运用结构化的方法对脆弱期权定价进行建模,建立了双跳-扩散过程下的脆弱期权定价模型,在公司负债为随机的情况下推导出了脆弱期权的定价公式。 The pricing of the derivatives associated with counterparty default risk is considered,based on Merton's structured credit risk model,an explicit pricing formula of vulnerable options was derived when the underlying asset price and corporate value is assumed to follow a jump-diffusion process,A model of vulnerable option pricing is developed when the underlying asset price and corporate value is assumed to follow a jump-diffusion process,then the pricing of vulnerable option is discussed when the corporate liabilities are random.
作者 邓华 颜博
出处 《绵阳师范学院学报》 2012年第2期4-7,共4页 Journal of Mianyang Teachers' College
关键词 信用风险 脆弱期权定价 公司价值 跳-扩散过程 Credit risk vulnerable European option pricing corporate value Jump-diffusion process
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参考文献7

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二级参考文献4

  • 1Merton R C. Option pricing when underlying stock returns are discontinuous[J]. Journal of Financial Economics, 1976, 3:125-144
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共引文献18

同被引文献18

  • 1陈驰翔,沈碧怡,杨广宇.跳扩散模型下可提前违约的脆弱期权定价[J].应用泛函分析学报,2013,15(3):204-210. 被引量:2
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  • 3JOHNSON H, STyLZ R. The pricing of options under default risk[J]. Journal of Finance, 1987,42(2) : 267 -280.
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  • 5KLEIN P. Pricing Black - Scholes options with correlated credit risk [J]. Journal of Banking and Finance, 1996,20(7) : 1121 - 1129.
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  • 7XUE H, LU J, WANG X. Swap Option Pricing Model in Frac- tional Jump - diffusion Environment [ C ]//Proeeedings 2011 World Congress on Engineering and Technology,Shanghai,Chiha, 2011 : 336-339.
  • 8陈超.标的资产价格服从跳—扩散过程的脆弱期权定价模型[J].工程数学学报,2008,25(6):1129-1132. 被引量:19
  • 9黄玲君,周圣武,梁岩,胡素敏.股价服从分数布朗运动的脆弱欧式期权定价[J].云南大学学报(自然科学版),2010,32(S2):109-112. 被引量:7
  • 10魏正元,高红霞.多跳-扩散模型与脆弱欧式期权定价[J].应用概率统计,2011,27(3):232-240. 被引量:8

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