随机利率下含信用风险的欧式期权的定价  

Valuation of European Option with Correlated Credit Risk and Stochastic Interest

作　　者：涂淑珍[1] 黄婧[1] 李时银[2] 

机构地区：[1]龙岩学院,福建龙岩364000 [2]厦门大学,福建厦门361005

出　　处：《龙岩学院学报》2015年第5期18-25,共8页Journal of Longyan University

基　　金：龙岩学院校立服务海西面上项目(LQ2013001);福建省中青年教师科研项目(JA15487);龙岩学院校级第三批教改项目(2014JY30)

摘　　要：采用混合定价方法给出了含信用风险的欧式期权在利率是随机情况下的模型.采用公司定价模型中的补偿率,同时假定违约过程服从重Poisson随机过程.其中违约过程的强度函数λ服从均值回复过程,且它与标的资产价格和公司价值相关.运用等价鞅测度变换,给出了在随机利率框架下,含信用风险的期权价格的闭解.In this paper, we derive explicit pricing formula for vulnerable call options where the credit risk is handled in a hybrid model. We describe the process of default via a doubly stochastic Poisson process, and assume that the intensity processλof Poisson process follows an mean-reverting process. Moreover, the default intensity processλcorrelates with the underling asset and the value of the firm mutually. By applying equivalent martingale measure, we derive closed-form solutions of the pricing formulae within a general Gaussian interest rate framework.

关 键 词：随机利率 重Poisson随机过程 信用风险 等价鞅测度 

分 类 号：O213[理学—概率论与数理统计]