摘要
将具有信用风险的期权最终执行情况与交易对手的公司价值和负债联系起来,建立了标的资产价格服从跳-扩散过程的信用风险期权定价模型,同时在跳风险不可定价的假设下,推导出信用风险期权的定价公式.
It was studied the issue of European option pricing model with credit risks. By concerning about the exercise of the option with the eounterparter＇s corporate value and debt, it was proposed an option pricing model for the case of stock price dynamics was jump-diffusion process. It was also deduced the European option pricing formula under the assumption that jump risk couldn＇t be priced.
出处
《浙江师范大学学报（自然科学版）》
CAS
2007年第3期356-360,共5页
Journal of Zhejiang Normal University:Natural Sciences
关键词
信用风险
期权定价
公司价值
公司负债
跳.扩散过程
credit risks
option pricing
corporate value
corporate debt
jump-diffusion process
