双跳-扩散过程下的脆弱期权定价
Vulnerable European Option Pricing for two Jump-diffusion Processes
本文考虑含有交易对手违约风险的衍生产品的定价，以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，分别在公司负债固定和随机的情况下推导出了脆弱期权的定价公式。
Pricing for the derivatives of counterparty default risk is considered. Based on the credit risk model, vulnerable option pricing was studied in a structured approach when the underlying asset price and corporate value follow the jump-diffusion process, and then formulas for vulnerable option pricing when the corporate liabilities are fixed and random were derived respectively.
颜博、严定琪
财政、金融数学
信用风险脆弱期权定价公司价值跳-扩散过程
credit risksvulnerable european option pricingcorporate valueJump-diffusion process
颜博,严定琪.双跳-扩散过程下的脆弱期权定价[EB/OL].(2010-09-09)[2025-08-21].http://www.paper.edu.cn/releasepaper/content/201009-231.点此复制
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