华东师范大学学报(自然科学版) ›› 2014, Vol. 2014 ›› Issue (1): 13-20, 26.

• 应用数学与基础数学 • 上一篇    下一篇

双跳-扩散过程下时间依赖型的脆弱期权定价

吕利娟,  张兴永   

  1. 中国矿业大学~~理学院, 江苏~~徐州\; 221116
  • 收稿日期:2013-03-01 修回日期:2013-06-01 出版日期:2014-01-25 发布日期:2015-09-25

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

LYU Li-juan,  ZHANG Xing-yong   

  1. College of Sciences, China University of Mining and Technology, Xuzhou Jiangsu \ 221116, China
  • Received:2013-03-01 Revised:2013-06-01 Online:2014-01-25 Published:2015-09-25

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摘要： 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\,$\sigma(t)$\,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\,It\^{o}\,引理和等价鞅测度变换, 导出了期权价格的解析表达式.

关键词: 双跳--扩散过程, 信用风险, 脆弱期权定价

Abstract: 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
$\sigma(t)$ and dividend yield $d(t)$ 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 It\^{o} lemma and
the trunformation of the equivalent martingale measure.

Key words: two jump-diffusion process, credit risks, vulnerable European option pricing

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