【摘要】 在结构化模型框架下,研究欧式看涨脆弱期权的定价问题。假设交易对手资产和标的资产均服从几何布朗运动,运用首中时方法对交易对手的违约进行建模,利用测度变换的方法给出了欧式看涨脆弱期权的价格公式。更多还原

【Abstract】 Under the structural models,we investigated the pricing of vulnerable European options. We adopted a first passage time approach to model the default of the counterparty when the dynamics of the underlying asset and the assets of the counterparty followed geometric Brownian motions. With the change of measure method,we derived the formula for pricing the vulnerable European options.更多还原