有多个跳跃源的信用风险欧式期权定价公式

在公司价值型信用风险欧式期权模型的基础上,进一步考虑标的资产受多个跳跃源影响的情况,用含有多维Poisson过程的Ito-Skorohod随机微分方程描述标的资产价格的运动,应用等价鞅测度变换方法导出相应的信用风险欧式期权定价公式,并讨论了利率,波动率及债务不是常数情况下的推广形式。

Price of Credit Risky European Option with Multiple Sources of Jumps

Based on the firm value pricing model for credit risky European option and the theory of option pricing, we established a model for underlying asset price with a mixed diffusion process involving various sources of jumps. By applying Ito-Skorohod formula and equivalent martingale measure transformation within the framework of our model, we derived a closed form analytic solution for vulnerable European option, and discussed its general forms on the circumstances that interest rate, volatility and debts are not constant.