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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.
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  • HTML全文浏览量:  21
  • 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

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