| 基于无套利对冲原理的信用风险期权定价 |
| |
| 引用本文： | 刘艳萍,梁绎凡. 基于无套利对冲原理的信用风险期权定价[J]. 价值工程, 2013, 0(2): 175-178 |
| |
| 作者姓名： | 刘艳萍 梁绎凡 |
| |
| 作者单位： | 大连理工大学管理与经济学部 |
| |
| 基金项目： | 国家软科学研究计划项目资助(2011GXQ4D039);教育部人文社会科学青年基金项目资助(09YJC790024) |
| |
| 摘 要： | 文章拓展了Klein假设中关于固定违约门槛的假设,构造可变违约门槛,根据无套利对冲原理,通过偏微分方程这种数学工具,推导出含信用风险的欧式脆弱期权价格波动的偏微分方程组和期权定价模型,进而求其显示解,得到类似于Black-Scholes公式的定价公式,该公式的推导过程比使用鞅理论推导更加浅显易懂。
|
| 关 键 词： | 脆弱期权定价 无套利对冲 公司价值 |
The Valuation of Options Subject to Credit Risk Based on No-arbitrage Principle |
| |
| LIU Yan-ping;LIANG Yi-fan. The Valuation of Options Subject to Credit Risk Based on No-arbitrage Principle[J]. Value Engineering, 2013, 0(2): 175-178 |
| |
| Authors: | LIU Yan-ping LIANG Yi-fan |
| |
| Affiliation: | LIU Yan-ping;LIANG Yi-fan(Faculty of Management and Economics,Dalian University of Technology,Dalian 116024,China) |
| |
| Abstract: | This article expands Klein's assumption about fixed default threshold,introduces invariable default threshold with the reference of Black-Scholes risk neutral option pricing and Delta hedging skills through the partial differential equation approach.We deducted the differential equation model of option pricing subject to credit risk on the base of certain assumptions,solved the vulnerable option pricing formula from the model,and get explicit solutions,which look like Black-Scholes equation.The derivation of partial differential equation approach is easier than that of Martingale Theory. |
| |
| Keywords: | vulnerable option pricing risk neutral option pricing value of corporation |
| 本文献已被 CNKI 等数据库收录！ |
|
