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考虑约化模型下具有信用风险的交换期权的定价问题.假设市场中无风险利率服从Vasicek模型,违约强度过程服从跳扩散模型.通过选取合理的等价测度,得到期权价格的封闭解.
Consider the pricing problem of exchange option with credit risk under the reduced model.We assume that the risk-free interest rate in the market obeys the Vasicek model, and the default intensity process obeys the jump-diffusion model.We choose the reasonable equivalent measure to get the closed solution of the option price.