Ӧ�ø���ͳ�� 2012, 28(2) 172-180 DOI:      ISSN: 1001-4268 CN: 31-1256

����Ŀ¼ | ����Ŀ¼ | ������� | �߼�����                                                            [��ӡ��ҳ]   [�ر�]
ѧ������
��չ����
������Ϣ
Supporting info
PDF(219KB)
[HTMLȫ��]
�����[PDF]
�����
�����뷴��
�ѱ����Ƽ�������
�����ҵ����
�������ù�����
����
Email Alert
���Ĺؼ����������
���������������
PubMed
˫��-��ɢ�����µĴ�����Ȩ����
�϶���,�ղ�
���ݴ�ѧ��ѧ��ͳ��ѧԺ
ժҪ��

���Ŀ��Ǻ��н��׶���ΥԼ���յ�������Ʒ�Ķ���,
�Թ�˾��ֵ���÷���ģ��Ϊ����,
�ڱ���ʲ��۸�͹�˾��ֵ��������-��ɢ���̵������,
���ýṹ���ķ����Դ�����Ȩ���۽��н�ģ,
������˫��-��ɢ�����µĴ�����Ȩ����ģ��,
�ֱ��ڹ�˾��ծ�̶��������������Ƶ����˴�����Ȩ�Ķ��۹�ʽ.

�ؼ�����
Vulnerable European Option Pricing for Two Jump-Diffusion Processes
Yan Dingqi, Yan Bo
School of Mathematics and Statistics, Lanzhou University
Abstract:

The pricing of the derivatives associated
with counterparty default risk is considered. Based on Merton's
structured credit risk model, an explicit pricing formula of
vulnerable options was derived when the underlying asset price and
corporate value is assumed to follow a jump-diffusion process. A
model of vulnerable option pricing is developed when the underlying
asset price and corporate value is assumed to follow a
jump-diffusion process, then the pricing of vulnerable option is
discussed when the corporate liabilities are fixed and random were
derived respectively.

Keywords:
�ո�����  �޻�����  ����淢������  
DOI:
������Ŀ:

ͨѶ����: �϶���
���߼��:
����Email:

�ο����ף�
�������������

Copyright by Ӧ�ø���ͳ��