| 时滞信用风险下的幂交换期权定价 |
| |
| 引用本文： | 王继红,徐云. 时滞信用风险下的幂交换期权定价[J]. 数学理论与应用, 2013, 0(1): 38-42 |
| |
| 作者姓名： | 王继红 徐云 |
| |
| 作者单位： | 石河子大学师范学院;新疆大学数学与系统科学学院 |
| |
| 摘 要： | 本文在约化模型的框架内考虑了含信用风险的幂交换期权定价,在"市场价值回复"假设下,给出了时滞信用风险下幂交换期权的定价公式.
|
| 关 键 词： | 时滞传染 约化模型 幂交换期权 |
Power Exchange Option Pricing with Time-lag Credit Risks |
| |
| Wang Jihong Xu Yun. Power Exchange Option Pricing with Time-lag Credit Risks[J]. Mathematical Theory and Applications, 2013, 0(1): 38-42 |
| |
| Authors: | Wang Jihong Xu Yun |
| |
| Affiliation: | Wang Jihong Xu Yun(1.Normal College of Shihezi University,Shihezi,Xinjiang 832003,China)(2.College of Mathematics and System Science,Xinjiang University,Urumqi,Xinjiang 830046,China) |
| |
| Abstract: | This paper studies the pricing of power exchange options with credit risks. Under the assumption of ＂recovery of market value＂, general pricing formulae of power exchange options with time - lag contagion are derived. |
| |
| Keywords: | Time - lag Contagion Reduced Model Power Exchange Option |
| 本文献已被 CNKI 维普 等数据库收录！ |
|
