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J4 ›› 2010, Vol. 45 ›› Issue (11): 109-114.

• 数学 • 上一篇    下一篇

脆弱期权的公司价值分形定价模型

陈祥利   

  1. 山东大学数学学院, 山东 济南 250100
  • 收稿日期:2010-01-04 出版日期:2010-11-16 发布日期:2010-11-24
  • 作者简介:陈祥利(1986-),男,硕士研究生,研究方向为衍生品定价与风险管理. Email:chenxiangli86@126.com

Vulnerable options fractional pricing model under corporate value stucture

CHEN Xiang-li   

  1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China
  • Received:2010-01-04 Online:2010-11-16 Published:2010-11-24

摘要:

以公司价值信用风险模型为基础,讨论了欧式脆弱期权定价问题,建立了标的资产价格服从几何分形布朗运动的脆弱期权定价模型;在分形HJM利率和随机负债假设下,利用拟鞅定价,推导出欧式看涨脆弱期权的定价公式。

关键词: 脆弱欧式期权定价;分形HJM利率模型;拟鞅定价

Abstract:

The problem of vulnerable European option pricing was discussed based on the corporate value models of the credit risk. A model of vulnerable option pricing was developed when the stock price equation was driven by a geometric fractional Brownian motion.  Then, with the method of qusi-martingale pricing, the pricing formula for vulnerable European call options was deduced under the hypothesis of fractional HJM interest rate and stochastic debt.

Key words: vulnerable European option pricing; fractional HJM interest rate model; qusi-martingale pricing

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