双跳-扩散过程下时间依赖型的脆弱期权定价

Vulnerable European option pricing with the time-dependent for double jump-diffusion process

在公司价值风险模型的基础上,研究对手单方违约风险的衍生产品定价.假设标的资产价格和合约出售方的资产-债务比均服从跳-扩散过程,其中无风险利率r(t)、标的资产的波动率σ(t)以及红利率d(t)均为关于时间的函数;而后运用结构化方法建立了双跳-扩散过程下的公司价值型脆弱期权定价模型,应用Ito引理和等价鞅测度变换,导出了期权价格的解析表达式.

Based on Merton＇s structured credit risk model, derivatives pricing with rival unilateral default risk was studied in this paper. Assuming that underlying asset price and assets-liabilities of sellers follow double jump-diffusion process, where risk-free interest rate r（t）, volatility of asset g（t） and dividend yield d（$） are time-dependent, vulnerable European options pricing model under double jump-diffusion process was established using the structured method, the analytical expressions of options price was obtained using It6 lemma and the trunformation of the equivalent martingale measure.