Pricing Vulnerable Options with Correlated Credit Risk Under Jump-diffusion Processes When Corporate Liabilities Are Random

被引：0
作者：
Qing Zhou
Jiao-jiao Yang
Wei-xing Wu
机构：
[1] Beijing University of Posts and Telecommunications,School of Science
[2] University of International Business and Economics,School of Banking and Finance
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2019年 / 35卷
关键词：
vulnerable option; default; credit risk; pricing; jump-diffusion; 60H10; 60J75; 60J70;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we consider an improved model of pricing vulnerable options with credit risk. We assume that the vulnerable European options not only face default risk, but also face the rare shocks of the underlying assets and the counterparty assets. The dynamics of two correlated assets are modeled as a class of jump diffusion processes. Furthermore, we assume that the dynamic of the corporate liability is a geometric Brownian motion that is related to the underlying asset and the counterparty asset. Under this new framework, we give an explicit pricing formula of the vulnerable European options.
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页码：305 / 318
页数：13
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