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双跳-扩散过程下时间依赖型的脆弱期权定价

Keywords: 双跳--扩散过程,信用风险,脆弱期权定价

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Abstract:

在公司价值风险模型的基础上,研究对手单方违约风险的衍生产品定价.假设标的资产价格和合约出售方的资产--债务比均服从跳--扩散过程,其中无风险利率\,$r(t)$、标的资产的波动率\,$\sigma(t)$\,以及红利率\,$d(t)$\,均为关于时间的函数;而后运用结构化方法建立了双跳--扩散过程下的公司价值型脆弱期权定价模型,应用\,It\^{o}\,引理和等价鞅测度变换,导出了期权价格的解析表达式.

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