违约风险下篮子期权的定价（英文）  

The Pricing of Basket Options with Default Risk

作　　者：蒋春梅[1] Jiang Chunmei(Xi'an Jiaotong University City College,Xi'an 710018,China)

机构地区：[1]西安交通大学城市学院

出　　处：《南开大学学报（自然科学版）》2019年第6期71-83,共13页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：研究了基于大规模信用投资组合的篮子期权的定价.投资组合中潜在交易的风险资产假设具有违约风险和违约传染,进一步,资产价格的动态与其违约强度相互耦合.通过求解相关的里卡提方程以及应用经验测度值过程的弱收敛和Vitali收敛定理,建立了当资产数量趋于无穷时,相关篮子期权价格的闭形式表示.The pricing of basket options is studied in a large credit portfolio. The underlying trading risky assets in the portfolio are subject to default risk and default contagion, where the asset price dynamics and the default intensities are mutually coupled. By solving the associated Riccati’s equations, the closed-form price representation of basket options are established by using the weak convergence of some empirical measure valued processes and Vitali’s convergence theorem as the number of assets tends to infinity.

关 键 词：篮子期权 违约风险 里卡提方程 弱收敛 

分 类 号：O211.6[理学—概率论与数理统计] O211.9[理学—数学]