首中时方法下欧式看涨脆弱期权的定价
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摘要
在结构化模型框架下,研究欧式看涨脆弱期权的定价问题。假设交易对手资产和标的资产均服从几何布朗运动,运用首中时方法对交易对手的违约进行建模,利用测度变换的方法给出了欧式看涨脆弱期权的价格公式。
Under the structural models,we investigated the pricing of vulnerable European options. We adopted a first passage time approach to model the default of the counterparty when the dynamics of the underlying asset and the assets of the counterparty followed geometric Brownian motions. With the change of measure method,we derived the formula for pricing the vulnerable European options.
Under the structural models,we investigated the pricing of vulnerable European options. We adopted a first passage time approach to model the default of the counterparty when the dynamics of the underlying asset and the assets of the counterparty followed geometric Brownian motions. With the change of measure method,we derived the formula for pricing the vulnerable European options.
引文
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[3]JARROW R A,TURNBULL S.Pricing derivatives on financial securities subject to credit risk[J].Journal of Finance,1995,50(1):53-86.
[4]JOHNSON H,STULZ R.The pricing of options with default risk[J].Journal of Finance,1987,42(2):267-280.
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[7]XU W D,XU W J,XIAO W L.Pricing black-scholes options with credit risk and jump risk[J].Applied Economics Letters,2015,22(2):87-93.
[8]牛华伟,王定成.利用Laplace变换研究基于一个双跳模型的脆弱期权定价问题[J].中国科学:数学,2015,45(2):195-212.
[9]NIU H W,WANG D C.Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy[J].Quantitative Finance,2016,16(7):1129-1145.
[10]苏小囡,王伟,王文胜.约化模型下具有信用风险的交换期权定价[J].数学的实践与认识,2015,45(5):1-8.
[11]WANG C,HE J M,LI S W.The European vulnerable option pricing with jumps based on a mixed model[J].Discrete Dynamics in Nature and Society,2016(2/3):1-9.
[12]HARRISON J M.Brownian Motion and Stochastic Flow Systems[M].New York:John Wiley,1985.
[2]BLACK F,SCHOLES M.The pricing of options and corporates liabilities[J].Journal of Political Economy 1973,81(3):637-654.
[3]JARROW R A,TURNBULL S.Pricing derivatives on financial securities subject to credit risk[J].Journal of Finance,1995,50(1):53-86.
[4]JOHNSON H,STULZ R.The pricing of options with default risk[J].Journal of Finance,1987,42(2):267-280.
[5]KLEIN P.Pricing Black-Scholes options with correlated credi risk[J].Journal of Banking Finance,1996,20:1211-1229.
[6]KLEIN P,YANG J.Vulnerable American options[J].Management Finance,2010,36:414-430.
[7]XU W D,XU W J,XIAO W L.Pricing black-scholes options with credit risk and jump risk[J].Applied Economics Letters,2015,22(2):87-93.
[8]牛华伟,王定成.利用Laplace变换研究基于一个双跳模型的脆弱期权定价问题[J].中国科学:数学,2015,45(2):195-212.
[9]NIU H W,WANG D C.Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy[J].Quantitative Finance,2016,16(7):1129-1145.
[10]苏小囡,王伟,王文胜.约化模型下具有信用风险的交换期权定价[J].数学的实践与认识,2015,45(5):1-8.
[11]WANG C,HE J M,LI S W.The European vulnerable option pricing with jumps based on a mixed model[J].Discrete Dynamics in Nature and Society,2016(2/3):1-9.
[12]HARRISON J M.Brownian Motion and Stochastic Flow Systems[M].New York:John Wiley,1985.