| 考虑信用风险的亚式期权定价 |
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| 引用本文： | 刘蕊蕊,徐云.考虑信用风险的亚式期权定价[J].数学理论与应用,2010(3):63-67. |
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| 作者姓名： | 刘蕊蕊 徐云 |
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| 作者单位： | 新疆大学数学与系统科学学院,乌鲁木齐830046 |
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| 基金项目： | FSRPHEXJ2008109资助 |
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| 摘 要： | 在结构化模型下,考虑标的资产的红利收益及企业债务为确定和随机两种情况,采用鞅方法得到有信用风险的连续几何平均亚式看涨和看跌期权的定价公式。且公式具有Black-Scholes平价关系。
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| 关 键 词： | 信用风险 脆弱期权 亚式期权 几何平价 |
The Pricing of Asian Option When Considering the Credit Risk |
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| Institution: | Liu Ruirui Xu Ytm (College of Mathematics and System Science, Xinjiang University, Urumqi, 830046) |
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| Abstract: | Under the structural model, we consider the dividend of underlying asset and the two cases of enterprise liability,whlch is definite or stochastic. By applying equivalent martingale measure transformation, we derived the pricing formula of default continuous geometric average Asian option,and the formulas have Black- Scholes parity relation. |
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| Keywords: | Credit risk Vulnerable option Asian option Geometric average |
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