| 违约风险的交换期权的定价模型与解法 |
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| 引用本文： | 涂淑珍,李时银.违约风险的交换期权的定价模型与解法[J].数学研究,2012,45(2):198-206. |
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| 作者姓名： | 涂淑珍 李时银 |
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| 作者单位： | 厦门大学数学科学学院,福建厦门,361005 |
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| 摘 要： | 含交易对手违约风险的交换期权采用混合模型定价,借助公司价值模型中的补偿率,同时采用以强度为基础的违约函数来确定违约的发生.假定违约强度遵从均值回复的重随机Poisson过程：且违约强度过程与标的资产,企业价值都相关.利用等价鞅测度变换方法导出含有违约风险的交换期权的价格闭解.
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| 关 键 词： | 重随机Poisson过程 信用风险 违约强度 等价鞅测度 |
The Model and Valuation of Exchange Option with Credit Risk |
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| Tu Shuzhen Li Shiyin.The Model and Valuation of Exchange Option with Credit Risk[J].Journal of Mathematical Study,2012,45(2):198-206. |
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| Authors: | Tu Shuzhen Li Shiyin |
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| Institution: | Tu Shuzhen Li Shiyin (College of Mathematics Science.Xiamen University Fujian Xiamen 361005) |
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| Abstract: | Our hybrid framework is fully general in both intensity and recovery rate depending on the firm value.It is therefore that a firm value model with a bankruptcy process determines the time of default.We describe the process of default via a doubly stochastic Poisson process,and assume that the intensity process A of Poisson process follows an mean-reverting process.It is supposed that default intensity process A correlates mutually with the diffuse processes of the underling asset price and the value of the firm. By applying equivalent martingale measure transformation,the closed form solution for vulnerable exchange option is given. |
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| Keywords: | Doubly stochastic Poisson process Credit risk Default intensity Equiv-alent martingale measure |
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