| 允许提前违约的信用衍生产品定价模型 |
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| 引用本文： | 王保合,李时银. 允许提前违约的信用衍生产品定价模型[J]. 数学的实践与认识, 2003, 33(9): 38-44 |
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| 作者姓名： | 王保合 李时银 |
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| 作者单位： | 厦门大学数学系,福建,厦门,361005 |
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| 摘 要： | 本文运用随机过程中的反射原理 ,停时分布以及障碍期权的定价思想扩展了 Merton( 1 975 )提出的信用衍生产品定价模型 ,对允许提前违约且标的资产间具有相关性的信用衍生产品进行定价 ,并给出了该定价模型的解析解
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| 关 键 词： | 信用风险 提前违约 反射原理 停时 障碍期权 相关系数 |
| 修稿时间： | 2003-01-19 |
Pricing the Derivitives with Credit Risk of Allowing Default Before Maturity |
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| WANG Bao|he, LI Shi|yin. Pricing the Derivitives with Credit Risk of Allowing Default Before Maturity[J]. Mathematics in Practice and Theory, 2003, 33(9): 38-44 |
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| Authors: | WANG Bao|he LI Shi|yin |
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| Abstract: | In this papers,a pricing model of credit risk derivatives with related underlying assets and allowing default before maturity was set up,a analytic solution of the model was obtained by using the reflection principle of stochastic process and the way of solving barrier options. |
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| Keywords: | credit risk early default barrier option correlation |
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