CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2007, 23(4) 395-406 DOI:      ISSN: 1001-4268 CN: 31-1256

Current Issue | Archive | Search                                                            [Print]   [Close]
ѧ������
Information and Service
This Article
Supporting info
PDF(295KB)
[HTML]
Reference
Service and feedback
Email this article to a colleague
Add to Bookshelf
Add to Citation Manager
Cite This Article
Email Alert
Keywords
Girsanov's theorem
martingale representation
credit risk
equivalent martingale measure
forward martingale measure.
Authors
DING Deng
CHAN Kaleong
PubMed
Article by
Article by

The Martingale Approach for Credit-Risky Option Pricing

DING Deng, CHAN Kaleong

Department of Mathematics, University of Macau

Abstract��

The financial model for derivatives with counterparty risk is considered. The firm value model is applied to price European type options for derivatives with counterparty default risk. The martingale approach is used to derive an explicit pricing formula for such Black-Scholes option under the Gaussian assumptions, which generalize the results in [1] (Ammann, 2001).

Keywords�� Girsanov's theorem   martingale representation   credit risk   equivalent martingale measure   forward martingale measure.  
Received 1900-01-01 Revised 1900-01-01 Online:  
DOI:
Fund:
Corresponding Authors: CHAN Kaleong
Email:
About author:

References��
Similar articles
1��Zhu Dan, Yang Xiangqun.The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2008,24(6): 613-620

Copyright by CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST