带违约风险分数维随机利率欧式看涨期权定价  

European call option pricing with default risk based on fractional stochastic interest rate model

作　　者：王伟[1] 胡俊娟[1] WANG Wei;HU Junjuan(School of Sciences,Zhejiang University of Science and Technology,Hangzhou 310023,Zhejiang,China)

机构地区：[1]浙江科技学院理学院,杭州310023

出　　处：《浙江科技学院学报》2018年第5期358-363,共6页Journal of Zhejiang University of Science and Technology

基　　金：浙江省教育厅一般科研项目(Y201635430);浙江科技学院研究生教学改革研究项目(研究生院[2018]2号)

摘　　要：在分数布朗运动环境中,假设公司资产价值和标的资产价格都满足该环境中的随机微分方程,选取分数维Vasicek随机利率,建立带有违约风险分数维Vasicek随机利率欧式看涨期权定价的模型。运用分数布朗运动随机微分方程与保险精算期权定价的理论与方法,假定公司负债为常数,得到分数维Vasicek欧式看涨脆弱期权的定价公式。It is assumed that company asset value and underlying asset price both satisfy the stochastic differential equation under the circumstance of fractional Brownian motion and the interest rate is a stochastic process obeying fractional Vasicek model. The pricing model for European call option with default risk is established on the basis of fractional Vasicek stochastic interest rate models. In addition, under the assumption of company liability being a constant, the fractional Vasicek vulnerable European call option pricing formula is obtained by applying the theory and approach in stochastic differential equation of fractional Brownian motion and actuarial option pricing .

关 键 词：违约风险 分数布朗运动 分数Vasicek模型 期权定价 

分 类 号：O211.63[理学—概率论与数理统计] F224.7[理学—数学]