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	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
	Tu SZ(涂淑珍) ; Li SY(李时银)
	2013-01-28
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 doublystochastic Poisson process credit risk default intensity equivalent martingale measure compound option
英文摘要	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 assume that the intensity process λ of Poisson process follows an mean-reverting process.And suppose that default intensity process λ correlates mutually with the diffuse processes of the under-ling asset price and the value of the firm.By applying equivalent martingale measure transformation derive the closed form solution for vulnerable compound option.; 国家自然科学基金项目(11071202)
语种	zh_CN
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/119872]
专题	数学科学－已发表论文
推荐引用方式 GB/T 7714	涂淑珍,李时银. 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[J],2013.
APA	涂淑珍,&李时银.(2013).违约风险市场价格的复合期权的定价模型与解法..
MLA	涂淑珍,et al."违约风险市场价格的复合期权的定价模型与解法".(2013).

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