企业债券的欧式期权的定价公式

Pricing of European Call Option on Corporate Bond

    摘要
  • 摘要: 本文研究了带有信用风险的企业债券的欧式衍生资产的定价方法，建立风险债券与无风险债券期权价格的相互关系。

     

    Abstract: In this paper, we study tile pricing problem of European call option written on a corporate bond and get a relationship between tile price of such option and that of a call option written on a risk-free bond.

     

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