| 关于有信用风险的期权定价的鞅方法 |
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| 引用本文： | 丁灯,陈家良. 关于有信用风险的期权定价的鞅方法[J]. 应用概率统计, 2007, 23(4): 395-406 |
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| 作者姓名： | 丁灯 陈家良 |
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| 作者单位： | 澳门大学数学系,澳门 |
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| 基金项目： | The research was partially supported by the research grant 050/2005/A from FDCT of Macao,the research grant RG067/04-05S/SHW/FST from University of Macau. |
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| 摘 要： | 本文考虑了一个关于具有对方风险的衍生物的金融模型bd 应用公司价值模型, 本文讨论了关于具有对方破产风险的衍生物的欧式期权定价问题bd 应用鞅方法, 在高斯分布等的假设下本文得到并证明一个关于该期权的显式Black-Scholes定价公式bd 该公式推广了Ammann在[1]中的相应结果.
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| 关 键 词： | Girsanov定理 鞅表示 信用风险 等价鞅测度 向前鞅测度. |
| 收稿时间： | 2005-10-27 |
| 修稿时间： | 2006-09-21 |
The Martingale Approach for Credit-Risky Option Pricing |
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| DING DENG,CHAN KALEONG. The Martingale Approach for Credit-Risky Option Pricing[J]. Chinese Journal of Applied Probability and Statisties, 2007, 23(4): 395-406 |
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| Authors: | DING DENG CHAN KALEONG |
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| Affiliation: | Department of Mathematics, University of Macau |
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| Abstract: | The financial model for derivatives with counterparty risk is considered.The firm value model is applied to price European type options for derivatives with counterparty default risk. The martingale approach is used to derive an explicit pricing formula for such Black-Scholes option under the Gaussian assumptions,which generalize the results in[1](Ammann,2001). |
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| Keywords: | Girsanov's theorem martingale representation credit risk equivalent martingale measure forward martingale measure. |
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