基于信用风险的期权定价word论文.docx

Abstract
Since 1973 the option has been developing rapidly, especially in the over-the-counter trading, but the counter party default risk was often neglected, and the risk is not only a direct cause of the 2008 financial crisis, but also make some relating to institutions suffered heavy losses or even bankruptcy , More and more experts began to contain credit risk into the option pricing.
In this paper, I will be considering the classic Black-Scholes pricing of risk-neutral principle, to discuss options with how the pricing of credit risk. In traditional classical Black-Scholes model, based on the real world market environment, expanding its model assumptions, it can be more close to the real environment, the classic Black-Scholes pricing formula has been improved. First consider pany's debt is fixed, the underlying asset price follows a geometric Brownian Motion, how is option pricing when the underlying asset price is less than pany's debt ; thus consider corporate debt is random, that the debt follows a geometric Brownian motion. in this case ,because of pany's assets is less than the random occurrence of debt of how is option pricing ; finally consider paying dividends in both cases the credit option pricing formula. Eventually obtained a credit risk option pricing formula under three conditions, which the latter two cases is the classic Black-Scholes pricing promotion. Thereby further enrich the option pricing formula and provide investors with more information.
Keywords: Credit Risk ; Option Pricing ; Debt ; Bonus
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目 录
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研究背景和意义······························································1
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