| 信用风险下的变化类型权证期权定价 |
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| 引用本文： | 徐龙华,刘金山. 信用风险下的变化类型权证期权定价[J]. 湖南农业大学学报(自然科学版), 2010, 27(4): 45-51 |
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| 作者姓名： | 徐龙华 刘金山 |
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| 作者单位： | （1.安康学院数学系,陕西 安康725000;2.华中科技大学 数学与统计学院,湖北 武汉430074） |
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| 摘 要： | 主要利用公司价值模型将信用风险引入到变化类型权证期权定价中,通过鞅和概率的方法,推导出信用风险下的变化类型权证期权的定价公式,给出了更切合实际的期权定价.
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| 关 键 词： | 信用风险 鞅 权证期权 |
The Changed Warrant Options Pricing Subject to Credit Risk |
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| XU Long-hu,LIU Jin-san. The Changed Warrant Options Pricing Subject to Credit Risk[J]. Journal of Hunan Agricultural University, 2010, 27(4): 45-51 |
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| Authors: | XU Long-hu LIU Jin-san |
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| Affiliation: | (1.Department of Mathematics,Ankang University, Ankang,Shannxi725000,China;2.College of Mathemoatics and Satistics,Huanzhong University of Scince and Technology,Wuhan,Hubei430074,China) |
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| Abstract: | The credit risk was introduced to the changed warrant options pricing through the corporation value model.Using the martingale pricing and probability methods,the pricing formula of the changed warrants subject to credit risk for a number of special cases was obtained,which is more realistic. |
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| Keywords: | credit risk warrant option martingale |
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