摘要
脆弱期权是指含有信用风险的期权,Klein假设信用风险与标的资产价值相关得到了脆弱期权的定价模型,该模型为欧式脆弱期权的定价提供了基础,但仍涉及一些与现实不符的假设,如没有交易成本,不支付红利等,使其应用受到很大的局限性。假设股票价格和公司价值存在连续红利支付,基于Mellin变换分析方法得到了不完备信息下带有连续支付红利的欧式脆弱期权定价解析公式,并给出数值例子分析红利收益率对欧式脆弱期权定价的影响。
Vulnerable options refer to options with credit risk.Klein assumes that the credit risk is related to the underlying asset value and obtains the pricing model of the vulnerable option.This model provides the basis for the pricing of European vulnerable options,but this model still involves some assumptions that are inconsistent with reality,such as no transaction costs,no dividend payments,etc.,which make its application subject to great limitations.This paper assumes that there are continuous dividend payments for stock price and company value.Based on Mellin transform analysis method,an analytical pricing formula of European vulnerable options with continuous dividend payments under incomplete information can be obtained,and the influence of dividend yield rate on the valuation of European vulnerable options through the numerical example is analysed.
作者
朱庆强
张二姚
费为银
ZHU Qingqiang;ZHANG Eryao;FEI Weiyin(College of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000,China)
出处
《安徽工程大学学报》
CAS
2019年第5期68-76,共9页
Journal of Anhui Polytechnic University
基金
国家自然科学基金资助项目(71571001)
安徽省自然科学基金资助项目(1608085MA02)
关键词
欧式脆弱期权
违约风险
连续红利
Mellin变换
随机分析
european vulnerable option
default risk
continuous dividend
mellin transform solution
stochastic analysis
