文章基本信息

标题：The European Vulnerable Option Pricing with Jumps Based on a Mixed Model
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作者：Chao Wang ; Jianmin He ; Shouwei Li 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2016
卷号：2016
DOI：10.1155/2016/8035746
出版社：Hindawi Publishing Corporation
摘要：In this paper, we combine the reduced-form model with the structural model to discuss the European vulnerable option pricing. We define that the default occurs when the default process jumps or the corporate goes bankrupt. Assuming that the underlying asset follows the jump-diffusion process and the default follows the Vasicek model, we can have the expression of European vulnerable option. Then we use the measure transformation and martingale method to derive the explicit solution of it.