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