违约风险定价模型的推广与应用  

The Extension and Application of a Default Risk Valuation Model

作　　者：宋丽平[1] 李时银[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《厦门大学学报（自然科学版）》2005年第5期616-620,共5页Journal of Xiamen University：Natural Science

摘　　要：在完全市场中,对带有违约风险的Black-Scholes期权定价模型进行研究和推广:用强度遵从均值回复过程的重随机的Poisson过程来描述违约过程;假定违约强度过程与标的资产价格、企业价值的扩散过程均两两相关.在这样的模型假定下,采用等价鞅测度变换方法,对有违约风险的欧式看涨期权给出了封闭形式的解析定价公式.In complete market,the paper studies and generalizes the model of pricing vulnerable Black-Scholes options under assumptions which are appropriate in many business situations. We describe the process of default by a doubly stochastic Poisson process,and assume that the intensity process λ of Poisson process follows a mean-reverting process. At the same time,we assume that default intensity process λ correlates with the diffuse processes of the underling asset price and the value of the counterparty firm. By applying equivalent martingale measure transformation within the framework of our model,a closed form analytic solution for vulnerable European call option is given.

关 键 词：违约强度 相关 均值回复过程 有违约风险的欧式看涨期权 

分 类 号：O175[理学—数学]