违约风险市场价格的复合期权的定价模型与解法  

The Model and Valuation of Compound Option with Credit Risk

作　　者：涂淑珍[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）》2013年第1期9-13,共5页Journal of Xiamen University：Natural Science

基　　金：国家自然科学基金项目(11071202)

摘　　要：在复合期权中,作为标的的期权含有交易对手违约的风险,对于含信用风险的复合期权,借助公司价值模型中的补偿率,同时采用重Poisson随机过程来确定违约的发生.其中重Poisson随机过程的强度函数遵从均值回复过程且与标的资产、企业价值都相关.利用等价鞅测度变换方法导出含信用风险的复合期权的解析定价公式.In compound option,as the subject options with counterparty default risk, the compound option has credit risk. Our hybrid framework is fully general in both intensity and recovery rate depending on the firm value. It is therefore a firm value model with a bankruptcy process determining the time of default. We describe the process of default by a doubly stochastic Poisson process, and as- sume that the intensity process A of Poisson process follows an mean-reverting process. And suppose that default intensity process A correlates mutually with the diffuse processes of the under-ling asset price and the value of the firm. By applying equivalent martin- gale measure transformation derive the closed form solution for vulnerable compound option.

关 键 词：重随机Poisson过程 信用风险 违约强度 等价鞅测度 复合期权 

分 类 号：O211.63[理学—概率论与数理统计] F830.91[理学—数学]