有违约风险的欧式期权定价  

Valuation of European option subject to default risk

作　　者：吴恒煜[1] 吕江林[1] 闵晓平[1] 

机构地区：[1]江西财经大学金融学院

出　　处：《系统工程学报》2007年第5期504-510,531,共8页Journal of Systems Engineering

基　　金：教育部人文社会科学资助一般项目(06JA790025);江西省教育厅科技计划资助项目(赣教技字[2007]261号);广东省自然科学基金资助项目(0530055705003980);江西财经大学创新团队基金资助项目(江财科研字[2005]4)

摘　　要：为了研究违约风险对欧式期权定价的影响,允许随机利率与随机的对手公司负债,应用结构化方法,扩展了Klein(1996)的定价模型,得到有违约风险欧式期权的一般化定价公式.进一步推导出交易对手负债固定、固定利率、固定利率与固定负债情形下的欧式期权以及标准欧式期权、交换期权的定价公式,并指出这些公式均为一般化定价公式的特例.In order to analyze the effects of default risk on the option prices, structural approaches are used to establish general pricing formula of European option model subject to default risk. The model allows stochastic interest rates as well as stochastic liabilities of the counterparty firm, and extends the work of Klein（1996）. Furthermore, a number of special cases of the general model are derived, including constant counterparty liabilities,constant interest rates,constant interest rates and liabilities ,standard European option ,exchange option, and it is showed that other pricing formulas in the literature can be expressed as special cases of our formulas.

关 键 词：违约风险 随机负债 挽回率 

分 类 号：R830[医药卫生—航空、航天与航海医学]