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用偏微分方程的方法,研究子公司是否违约,对母公司的股票期权的定价的影响问题.在跳扩散的前提假设下,利用结构化方法,考虑当子公司违约时,母公司股票期权的可提前到期性,分时段进行分析,并给出了母公司期权定价的数学模型和解的表达式.
Using the method of partial differential equation to study the influence of subsidiaries on the pricing of stock options of parent company, this paper uses the structured method to consider the effect of parent company’s stock options It can be matured in advance and analyzed in different time periods. The mathematical model of the option pricing of the parent company is also given.