含信用风险的与股票相关的欧式汇率买入期权定价  

The pricing formula for European exchange rate call option related to stock with default risk

作　　者：许丽莉[1] 王海叶[1] 

机构地区：[1]宁德师范学院数学系,福建宁德352100

出　　处：《宝鸡文理学院学报（自然科学版）》2012年第3期10-14,共5页Journal of Baoji University of Arts and Sciences(Natural Science Edition)

摘　　要：目的研究含信用风险的与股票相关的欧式汇率买入期权定价。方法运用违约风险的结构模型,采用等价鞅测度变换的方法。结果基于St,Ft,Vt都遵循几何Brown运动的假设,推导了含信用风险的与股票相关的欧式汇率买入期权的定价公式。结论应用所求定价公式可以确定在违约风险情况下的与股票相关的欧式汇率买入期权的定价问题。Aim To research into the pricing formula for European exchange rate call option related to stock with default risk. Methods The structural approach for credit default risk model and the equivalent martingale measure transformation method are adopted to investigate the foresaid aim. Results Based upon the hypothesis that St ,Ft ,Vt obey geometric Brown motion, the pricing formula of European exchange rate call option related to stock with default risk is deduced. Conclusion The pri- cing problem of European exchange rate call option related with stock at default risk can be determined hy applying that pricing formula.

关 键 词：信用风险 汇率 结构方法 期权定价 

分 类 号：F830.9[经济管理—金融学] F224