标的资产带有红利支付的脆弱期权定价问题研究  

On Pricing Vulnerable Options with Dividend Payment of Underlying Assets

作　　者：李钰[1] 石学芹 吕会影 LI Yu;SHI Xue-qin;Lü Hui-ying(Public Basic Teaching Department,Anhui Technical College of Mechanical and Electrical Engineering,Wuhu Anhui 241000,China;School of Mathematics and Physics,Anhui Polytechnic University,Wuhu Anhui 241000,China)

机构地区：[1]安徽机电职业技术学院公共基础教学部,安徽芜湖241000 [2]安徽工程大学数理学院,安徽芜湖241000

出　　处：《菏泽学院学报》2021年第5期19-23,共5页Journal of Heze University

基　　金：安徽省高校自然科学重点研究项目(KJ2019A1163)。

摘　　要：由实际交易可知,红利支付对于期权定价有着直接的影响,而经典Klein脆弱期权定价模型并未考虑,所以在经典模型的基础上进一步探讨.首先构建考虑红利支付的股票价格和公司价值动力学方程,其次利用等价鞅测度方法推导出考虑红利支付的脆弱期权定价公式,最后通过数值分析来直观体现红利率与交易对手违约时损失率对欧式看涨脆弱期权价格的影响.It can be seen from the actual transactions that dividend payment has a direct impact on option pricing,while the classic Klein vulnerable option pricing model is not considered,so it is further discussed in this paper based on the classic model.Firstly,the dynamic equations of stock price and company value considering dividend payment are constructed.Secondly,the pricing formula of vulnerable option considering dividend payment is derived by using equivalent martingale measure.Finally,through numerical analysis,the impact of dividend payment and loss rate when the counterparty defaults on the price of European call vulnerable options can be directly reflected.

关 键 词：脆弱期权 红利支付 等价鞅测度 随机微分方程 

分 类 号：F830[经济管理—金融学] O211.5[理学—概率论与数理统计]