考虑交易对手违约相关的脆弱期权定价

探讨了脆弱欧氏看涨期权定价过程中存在的交易对手间违约相关问题.首先,提出了交易对手间环形违约相关情形与市场风险因素共存时,违约强度模型的构造.其次,利用绝对连续的测度变换方法得到了交易双方的联合违约密度函数.数值分析结果表明：当期权交易双方存在环形违约相关时,脆弱期权的价格要低于只考虑存在单边违约风险的情形,说明此种情况下的脆弱期权蕴含着较高的信用风险暴露.另外,模型对回收率的敏感性要强于已有模型.

Pricing of vulnerable option with counterparty correlated default risk

The problem of counterparty correlated default risk existing in the pricing of vulnerable European call option is investigated.Firstly,the looping default intensity model under coexistence of counterparty credit risk between the situation of mutual influence and market risk is put forward.Secondly,the joint default density function with the method of absolutely continuous change of measures is established.The numerical analysis results show that when the parties of the transaction of option are in the situation of looping correlated default,the price of vulnerable option is lower than that under one side default risk.This case implies that vulnerable option contains high credit risky exposure.In addition,the recovery rate sensitivity of the model is stronger than that of the existing model.