中国综合性科技类核心期刊(北大核心)

中国科学引文数据库来源期刊(CSCD)

美国《化学文摘》(CA)收录

美国《数学评论》(MR)收录

俄罗斯《文摘杂志》收录

留言板

尊敬的读者、作者、审稿人, 关于本刊的投稿、审稿、编辑和出版的任何问题, 您可以本页添加留言。我们将尽快给您答复。谢谢您的支持!

姓名
邮箱
手机号码
标题
留言内容
验证码

双跳-扩散过程下时间依赖型的脆弱期权定价

吕利娟 张兴永

吕利娟, 张兴永. 双跳-扩散过程下时间依赖型的脆弱期权定价[J]. 华东师范大学学报(自然科学版), 2014, (1): 13-20, 26.
引用本文: 吕利娟, 张兴永. 双跳-扩散过程下时间依赖型的脆弱期权定价[J]. 华东师范大学学报(自然科学版), 2014, (1): 13-20, 26.
LYU Li-juan, ZHANG Xing-yong. Vulnerable European option pricing with the time-dependent for double jump-diffusion process[J]. Journal of East China Normal University (Natural Sciences), 2014, (1): 13-20, 26.
Citation: LYU Li-juan, ZHANG Xing-yong. Vulnerable European option pricing with the time-dependent for double jump-diffusion process[J]. Journal of East China Normal University (Natural Sciences), 2014, (1): 13-20, 26.

双跳-扩散过程下时间依赖型的脆弱期权定价

详细信息
  • 中图分类号: O211.6

Vulnerable European option pricing with the time-dependent for double jump-diffusion process

  • 摘要: 在公司价值风险模型的基础上, 研究对手单方违约风险的衍生产品定价. 假设标的资产价格和合约出售方的资产--债务比均服从跳--扩散过程, 其中无风险利率\,$r(t)$、 标的资产的波动率\,$\sigma(t)$\,以及红利率\,$d(t)$\,均为关于时间的函数; 而后运用结构化方法建立了双跳--扩散过程下的公司价值型脆弱期权定价模型, 应用\,It\^{o}\,引理和等价鞅测度变换, 导出了期权价格的解析表达式.
  • [1] {1} BLACK F, SCHOLES M. The valuation of options and corporate liabilities[J]. Journal of Political Economy, 1973, 8: 637-659.
    {2} MERTON R C. On the pricing of corporate debt:the risk structure of interest rates[J]. Journal of Finance, 1974, 29: 449-470.
    {3} BLACK F, COX J. Valuing corporate securities: some effects of bond indenture provisions[J]. Journal of Finance, 1976, 11: 351-367.
    {4} LONGSTAFF F, SCHWARTZ E. A simple approach to valuing risky fixed and floating rate debt[J]. Journal of Finance, 1995, 50: 789-819.
    {5}YILDIRIM Y. Modeling default risk: a new structural approach[J]. Finance Research Letters, 2006, 3: 165-172.
    {6} DUFFIE D, SINGLETON K. Modelling term structures of defaultable bonds[J]. Review of Financial Studies, 1996, 12: 687-720.
    {7}JARROW R, LANDO D, TURNBULL S. A Markov model for the term structure of credit spreads[J]. Review of Financial Studies, 1997(1): 481-523.
    {8} MADAN D B, UNAL H. Pricing the risks of default[J]. Review of Derivatives Research, 1998(2): 121-160.
    {9}JONHNSON H, STULZ R. The pricing of options under default risk[J]. Journal of Finance, 1987, 42: 267-280.
    {10} HULL J M, WHITE A. The impact of default risk on default risk on the prices of options and other dervative securities[J]. Journal of Banking and Finance, 1995, 19: 299-323.
    {11} KLEIN P. Pricing Black-Sholes potions with correlated credit risk[J]. Journal of Banking and Finance, 1996, 20: 1211-1229.
    {12} LOBO B J. Jump risk in the U.S.stock market: evidence using political information[J]. Review of Financial Economics, 1999(8): 147-163.
    {13} ZHOU C. The term structure of credit spread with jump risk[J]. Journal of Banking and Finance, 2001, 25: 2015-2040.
  • 加载中
计量
  • 文章访问数:  1521
  • HTML全文浏览量:  8
  • PDF下载量:  1978
  • 被引次数: 0
出版历程
  • 收稿日期:  2013-03-01
  • 修回日期:  2013-06-01
  • 刊出日期:  2014-01-25

目录

    /

    返回文章
    返回