Vulnerable European option pricing with the time-dependent for double jump-diffusion process
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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.Abstract: Based on Merton's structured credit risk model, derivatives pricing with rival unilateral default risk was studied in this paper. Assuming that underlying asset price and assets-liabilities of sellers follow double jump-diffusion process, where risk-free interest rate $r(t)$, volatility of asset $\sigma(t)$ and dividend yield $d(t)$ are time-dependent, vulnerable European options pricing model under double jump-diffusion process was established using the structured method, the analytical expressions of options price was obtained using It\^{o} lemma and the trunformation of the equivalent martingale measure.
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